کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076329 1477207 2016 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Valuation of employee stock options using the exercise multiple approach and life tables
ترجمه فارسی عنوان
ارزیابی گزینه های سهام کارکنان با استفاده از رویکرد چندگانه و جداول زندگی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
Employee stock options (ESOs) are common in performance-based employee remuneration. Financial reporting standards such as IFRS2 and AASB2 require public corporations to report on the cost of providing ESOs, and mandate the incorporation of voluntary and involuntary early exercise. In this paper we extend the exercise multiple approach of Hull and White (2004) and decompose the attrition unadjusted voluntary exercise ESO into a gap call option and two partial-time barrier options. We use exit probabilities obtained from empirically determined multiple decrement or life tables to model involuntary early exercise or forfeiture. We provide a new analytic valuation formula which expresses the ESO value in terms of a portfolio of exotic European bivariate power options and which correctly accounts for both voluntary exercise and employee attrition. Recent approaches seek to model employee attrition using a constant hazard rate. Our approach uses an empirically driven actuarial method for incorporating employee attrition in the valuation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 68, May 2016, Pages 17-26
نویسندگان
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