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dc.contributor.authorAnderson, Chris K.
dc.contributor.authorBrisley, Neil
dc.description.abstractA 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.
dc.rightsRequired 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.
dc.subjectemployee stock options
dc.subjectup-and-out protected barrier call
dc.titleEmployee Stock Options: An Up-and-Out Protected Barrier Call
dc.description.legacydownloadsAnderson13_Employee_Stock_Options.pdf: 333 downloads, before Aug. 1, 2020.
local.authorAffiliationAnderson, Chris K.: Cornell University
local.authorAffiliationBrisley, Neil: University of Western Ontario

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