Valuation of employee stock options using the exercise multiple approach and life tables
DOI10.1016/J.INSMATHECO.2015.12.009zbMATH Open1369.91182OpenAlexW379579888MaRDI QIDQ320251FDOQ320251
Authors: Timothy Kyng, Otto Konstandatos, Tobias Bienek 
Publication date: 6 October 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://www.uts.edu.au/sites/default/files/qfr-archive-03/QFR-rp355.pdf
Recommendations
- A top-down approach for the multiple exercises and valuation of employee stock options
- ESO valuation with job termination risk and jumps in stock price
- ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
- Employee stock options. Exercise timing, hedging, and valuation
- A reduced form model for ESO valuation. Modelling the effects of employee departure and takeovers on the value of employee share options
employee stock optionsmethod of imagesexercise multiplefinancial reporting standardslife and multiple decrement tablespartial-time barrier options
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- The pricing of options and corporate liabilities
- Title not available (Why is that?)
- Martingales and stochastic integrals in the theory of continuous trading
- Option pricing: A simplified approach
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- Title not available (Why is that?)
- The pricing of dual-expiry exotics
- Stochastic life annuities
- Fitting combinations of exponentials to probability distributions
- A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
Cited In (6)
- A top-down approach for the multiple exercises and valuation of employee stock options
- On the valuation of non-transferable employee share option plans
- Employee stock options. Exercise timing, hedging, and valuation
- A reduced form model for ESO valuation. Modelling the effects of employee departure and takeovers on the value of employee share options
- ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
- The optimal execution strategy of employee stock options
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