Before revision: We analyse the valuation and exercise of an American executive call option written on a stock whose drift parameter falls to a lower value at a change point given by an exponential random time , independent of the Brownian motion driving the stock.
After revision: We analyse the optimal exercise of an American executive call option written on a stock whose drift parameter falls to a lower value at a change point given by an exponential random time , independent of the Brownian motion driving the stock.