Before revision: We analyse the optimal exercise of an American call ESO written on a stock whose drift parameter falls to a lower value at a change point , an exponentially distributed random time independent of the Brownian motion driving the stock.
After revision: We analyse the optimal exercise of an executive stock option (ESO) written on a stock whose drift parameter falls to a lower value at a change point , an exponentially distributed random time independent of the Brownian motion driving the stock.