Valuing Employee Stock Options Part 8 doc
Valuing Employee Stock Options Part 8 doc
... σδ
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88 BACKGROUND OF THE BINOMIAL LATTICE AND BLACK-SCHOLES MODELS
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ple provides a much more accurate view of the true nature of the stock
market, ... non-dividend-paying stocks and/or
bonds and replicate the payout of the first portfolio of dividend-paying
Binomial Lattices in Technical Detail 87
ccc_mun_ch 08_ 83-1...
Valuing Employee Stock Options Part 5 doc
... 2.0113 1 .89 77 1 .81 84
1.5375 2.0192 1.52 68 1.94 98 1.6154
2.0765 1.9022 1.7997 1.65 48 1.7127
1.9969 1.9106 1 .85 31 2.0061 1 .85 15
1.9302 1.6 083 1. 985 8 1.5019 1.9557
1 .82 80 1.5602 1 .88 11 1 .81 98 1.5437
1.5 985 ... 1.5437
1.5 985 1 .82 81 1.7007 1. 586 6 1.9916
1.9239 1.9774 1.6696 1 .81 38 1.7725
1.65 08 1.5992 1.5472 1. 981 3 1 .87 64
1 .81 81 1 .83 97 2.0594 1.53 78 1.6...
Valuing Employee Stock Options Part 7 docx
... variables that exist in real-life ESOs.
Brief Technical Background 81
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CHAPTER
7
Brief Technical
Background
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77
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PART
Two
Technical Background
of the Binomial Lattice...
Valuing Employee Stock Options Part 1 pptx
... METHODOLOGY
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flast.qxd 8/ 30/04 4: 58 PM Page xxii
ffirs.qxd 8/ 30/04 4:50 PM Page iii
Valuing Employee
Stock Options
ffirs.qxd 8/ 30/04 4:50 PM Page i
PART THREE
A Sample ... already
3
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Binomial Lattices 80
Summary and Key Points 81
CHAPTER 8
Binomial Lattices in Technical Detail...
Valuing Employee Stock Options Part 3 pptx
... Value
$0.00
$10.00
$20.00
$30.00
$40.00
$50.00
$60.00
$70.00
$80 .00
Stock Price $5
Stock Price $10
Stock Price $15
Stock Price $20
Stock Price $25
Stock Price $30
Stock Price $35
Stock Price $40
Stock Price $45
Stock Price $50
Stock Price $55
Stock ... Price $60
Stock Price $65
Stock Price $70
Stock Price $75
Stock Price $80
Stock Price $85
Stock Price $9...
Valuing Employee Stock Options Part 4 pptx
... 9.23
Forfeiture (25.00%) $ 8. 77 $ 8. 77 $ 8. 77 $ 8. 77 $ 8. 77 $ 8. 77 $ 8. 77 $ 8. 77 $ 8. 77 $ 8. 77
Forfeiture (30.00%) $ 8. 34 $ 8. 34 $ 8. 34 $ 8. 34 $ 8. 34 $ 8. 34 $ 8. 34 $ 8. 34 $ 8. 34 $ 8. 34
Forfeiture (35.00%) ... 1,000
Binomial $ 8. 94 $10. 28 $11.03 $11.62 $11 .89 $12. 18 $12.29
BSM $12 .87 $12 .87 $12 .87 $12 .87 $12 .87 $12 .87 $12 .87
Expected Life...
Valuing Employee Stock Options Part 9 ppsx
... underlying stock s volatility.
The forecast stock price at grant date can be obtained from various
sources. The first is from the firm’s own finance department and investor re-
lations department, where stock ... estimate the underlying
stock s volatility; LEAPS are long-term stock options, and when time
passes such that there are six months or so remaining, LEAPS revert to reg-
ular s...
Valuing Employee Stock Options Part 10 pdf
... 1 ,80 0 2,400 3,000 3,600 4,200 4 ,80 0 5,400 6,000
Suboptimal Behavior 1 .85 31 1 .85 31 1 .85 31 1 .85 31 1 .85 31 1 .85 31 1 .85 31 1 .85 31 1 .85 31 1 .85 31 1 .85 31 1 .85 31 1 .85 31 1 .85 31
Vesting 0. 08 0. 08 0. 08 0. 08 ... 0. 08 0. 08 0. 08 0. 08 0. 08 0. 08 0. 08 0. 08 0. 08 0. 08 0. 08 0. 08 0. 08 0. 08
Binomial Option Value $20.55 $17 .82 $17.32 $ 18. 55 $17.55...
Valuing Employee Stock Options Part 11 pdf
... $ 8. 15 $8. 47 $8. 73 $8. 93 $9.10 $9.23
$5.21 $6.53 $7.27 $ 7 .84 $8. 13 $8. 37 $8. 55 $8. 70 $8. 82
$5. 08 $6.33 $7.03 $ 7.55 $7 .82 $8. 03 $8. 20 $8. 34 $8. 45
$4.96 $6.14 $6 .80 $ 7. 28 $7.53 $7.72 $7 .88 $8. 00 ... $10. 48 $10.52
$5.53 $7.43 $8. 51 $9.02 $9. 28 $9.46 $9.60 $9.69 $9.76 $9 .80
$5. 38 $7.12 $8. 08 $8. 53 $8. 75 $8. 90 $9.01 $9.09 $9.15 $9. 18
$5.23 $6 .85 $7.71 $8....
