منابع مشابه
Analytic Pricing of Employee Stock Options∗†
We introduce a model that captures the main properties that characterize employee stock options (ESO), in particular, the likelihood of early voluntary exercise and the obligation to exercise immediately if the employee leaves the firm, except if this happens before options are vested, in which case the options are forfeited. We derive an analytic formula for the price of the ESO and analyze it...
متن کاملPRICING STOCK OPTIONS USING FUZZY SETS
We use the basic binomial option pricing method but allow someor all the parameters in the model to be uncertain and model this uncertaintyusing fuzzy numbers. We show that with the fuzzy model we can, with areasonably small number of steps, consider almost all possible future stockprices; whereas the crisp model can consider only n + 1 prices after n steps.
متن کاملHeterogeneous beliefs and employee stock options;
This paper uses a market valuation model to explore why firms grant employee stock options. When insider managers and outside investors have different opinions about the future prospects of the firm, employee stock options can be used to capture future investor overvaluation and to save employee compensation costs. Options can enhance the stock value for existing shareholders if the difference ...
متن کاملMarket Valuation and Employee Stock Options
This paper investigates a market-valuation-based hypothesis for employee stock options (ESOs). It examines how market valuation has affected the decision to grant ESOs, the amount of options granted, and the distribution of options among executives and rankand-file employees. I find strong empirical evidence that firms with high market valuation and high probability of future overvaluation are ...
متن کاملEmployee Stock Options, Equity Valuation, and the Valuation of Option Grants Using a Warrant-Pricing Model
We investigate the use of a warrant-pricing approach to incorporate employee stock options (ESOs) into equity valuation and to account for the dilutive effect of ESOs in the valuation of option grants for financial reporting purposes. Our valuation approach accounts for the jointly determined nature of ESO and shareholder values. The empirical results show that our stock price estimate exhibits...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2007
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhm065