On the modeling of employee voluntary early exercise for the valuation of employee stock options

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dc.contributor.author Chendra, Erwinna
dc.contributor.author Syamsuddin, Muhammad
dc.contributor.author Puspita, Dila
dc.contributor.author Sidarto, Kuntjoro A.
dc.contributor.author Lismayanti, Siska
dc.date.accessioned 2021-10-08T03:45:49Z
dc.date.available 2021-10-08T03:45:49Z
dc.date.issued 2013
dc.identifier.other maklhsc602
dc.identifier.uri http://hdl.handle.net/123456789/12431
dc.description Makalah dipresentasikan pada 2013 International Conference on Advances in Computing, Communications and Informatics (ICACCI). Institute of Electrical and Electronics Engineers. Mysore India,21 Oktober 2013. p. 1403-1407. en_US
dc.description.abstract Employee Stock Options (ESOs) are call options granted by a company to its employees on the stock of the company. ESOs are an important part of company compensation and the valuation of these options has become a focus attention in finance and accounting. ESOs have special characteristics, such as: they are not tradable; they can be exercised only after the vesting period; if employees leave the company during the vesting period then the ESOs are forfeited. So valuing these options using Black-Scholes framework is less appropriate. This paper extends the model proposed by Brisley and Anderson to account for the restricted set of possible exercise dates (Bermudan style) and the state-dependent employee exit rate. We analyze the optimal early exercise decision by risk neutral valuation model. Then the price of ESOs is computed using Monte Carlo method. The Monte Carlo method is flexible and easy to implement and modify. We also analyze ESOs properties and sensitivity with respect to the model parameters. en_US
dc.language.iso en en_US
dc.publisher Institute of Electrical and Electronics Engineers en_US
dc.subject MONTE CARLO METHOD en_US
dc.subject EMPLOYEE STOCK OPTIONS en_US
dc.subject BRISLEY-ANDERSON MODEL en_US
dc.title On the modeling of employee voluntary early exercise for the valuation of employee stock options en_US
dc.type Conference Papers en_US


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