VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH
نویسندگان
چکیده
منابع مشابه
Valuation of Employee Reload Options Using Utility Maximization Approach
The reload provision in an employee stock option is an option enhancement that allows the employee to pay the strike upon exercising the stock option using his owned stocks and to receive new “reload” stock options. The usual Black-Scholes risk neutral valuation approach may not be appropriate to be adopted as the pricing vehicle for employee stock options, due to the non-transferability of the...
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Reload options, call options whose exercise entitles the holder to new options, are compound options that are commonly issued by firms to employees. Although reload options typically involve exercise at many dates, the optimal exercise policy is simple (always exercise when in the money) and surprisingly robust to assumptions about the employee’s ability to transact in the underlying stock as w...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2005
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024905003189