Analytic Pricing of Employee Stock Options

A-Tier
Journal: The Review of Financial Studies
Year: 2008
Volume: 21
Issue: 2
Pages: 683-724

Authors (3)

Jakša Cvitanić (not in RePEc) Zvi Wiener (Hebrew University of Jerusalem) Fernando Zapatero (not in RePEc)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We introduce a model that captures the main properties that characterize employee stock options (ESO). We discuss the likelihood of early voluntary ESO exercise, and the obligation to exercise immediately if the employee leaves the firm, except if this happens before options are vested, in which case the options are forfeited. We derive an analytic formula for the price of the ESO and in a case study compare it to alternative methods. The Author 2007. Published by Oxford University Press on behalf of the Society for Financial Studies. All rights reserved. For permissions, please e-mail: [email protected], Oxford University Press.

Technical Details

RePEc Handle
repec:oup:rfinst:v:21:y:2008:i:2:p:683-724
Journal Field
Finance
Author Count
3
Added to Database
2026-01-25