Valuation of employee stock options using the exercise multiple approach and life tables

DOI10.1016/J.INSMATHECO.2015.12.009MaRDI QIDQ320251zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

employee stock optionsmethod of imagesexercise multiplefinancial reporting standardslife and multiple decrement tablespartial-time barrier options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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

Cites work

• scientific article; zbMATH DE number 5852050 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
• Fitting combinations of exponentials to probability distributions
• Martingales and stochastic integrals in the theory of continuous trading
• Option pricing: A simplified approach
• Stochastic life annuities
• The pricing of dual-expiry exotics
• The pricing of options and corporate liabilities
• Valuing equity-linked death benefits and other contingent options: a discounted density approach

Cited in

(7)

• Employee stock options. Exercise timing, hedging, and valuation
• The optimal execution strategy of employee stock options
• On the valuation of non-transferable employee share option plans
• ESO valuation with job termination risk and jumps in stock price
• A top-down approach for the multiple exercises and valuation of employee stock options
• 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

Describes a project that uses

Uses Software

• QSIMVN

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