Employee Stock Options: An Up-and-Out Protected Barrier Call
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Author
Anderson, Chris K.
Brisley, Neil
Abstract
A well-known numerical lattice model, widely used to value employee stock options (ESOs), can be interpreted as a variation on the up-and-out protected barrier call, a version of which is valued in closed form by Carr (1995). We clarify that valuation formula and extend it to take account of the reality of possible vesting date exercise by employees.
Date Issued
2009-01-01
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Required Publisher Statement: © Taylor & Francis . Final version published as: Anderson, C. K., & Brisley, N. (2009). Employee stock options: An up-and-out protected barrier call. Applied Mathematical Finance, 16(4), 347-352. DOI: 10.1080/13504860902753251. Reprinted with permission. All rights reserved.
Type
article