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 its properties and sensitivity with respect to the model parameters

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Year of publication:	[2006]
Authors:	Cvitanic, Jaksa
Other Persons:	Zapatero, Fernando (contributor) ; Wiener, Zvi (contributor)
Publisher:	[2006]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (43 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 19, 2006 erstellt
Other identifiers:	10.2139/ssrn.612881 [DOI]
Classification:	G12 - Asset Pricing ; M41 - Accounting ; M52 - Compensation and Compensation Methods and Their Effects (stock options, fringe benefits, incentives, family support programs) ; J33 - Compensation Packages; Payment Methods ; m46
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012735381