Valuing employee stock options

... 81 83 83 87 90 92 94 99 10 2 10 5 10 8 10 9 11 2 11 5 11 5 11 9 11 9 12 0 12 0 12 1 12 1 12 1 12 3 12 3 12 4 12 5 12 5 12 6 12 7 12 8 12 8 12 9 viii CONTENTS PART THREE A Sample Case Study Applying FAS 12 3 CHAPTER 10 ... 72 72 10 3 10 4 11 3 11 8 11 8 13 4 13 7 13 8 xiv Table 10 .4 Table 10 .5 Table 10 .6 Table 10 .7 Table 10 .8 Table 10 .9 Table 1...

Ngày tải lên: 01/07/2014, 08:39

... different Stock Prices $80.00 Stock Price $5 Stock Price $10 Stock Price $15 $70.00 Stock Price $20 Stock Price $25 Option Value $60.00 Stock Price $30 Stock Price $35 $50.00 Stock Price $40 Stock ... Forfeiture Rate ( 13% ) Forfeiture Rate (14%) –17 .33 % –19.85% –22.20% –24.40% –26.44% –28 .34 % 30 .12% 31 .78% 33 .32 % 34 .77% – 13. 18% –15.17% –17.06% –18.84% –20.54% –...

Ngày tải lên: 01/07/2014, 08:39

... Forfeiture (40 .00%) 37.09% 38.92% 40 .55% 42 .01% 43 .31% 44 .48 % 45 .53% 46 .48 % 47 . 34% Behavior (1 .40 ) $11.33 $10.76 $10.23 $ 9.72 $ 9.23 $ 8.77 $ 8. 34 $ 7.92 $ 7.52 Behavior (1 .40 ) 31.32% 33 .43 % 35.35% ... $45 .87 $39. 74 $ 34. 88 $30. 94 $27.70 $25.00 $22.70 $20.73 $19.01 Behavior (2.20) $48 .09 $41 .42 $36.16 $31.93 $28 .48 $25.61 $23.19 $21.12 $19.33 Behavior (2 .4...

Ngày tải lên: 01/07/2014, 08:39

... 68.03 77.68 65. 45 61.49 50 .92 39.42 41.20 43.30 30.64 24.03 14.16 10 .50 8. 75 14.06 18 .51 14.29 11.27 16.87 Value (2) Binomial Steps 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 ... 2. 053 5 1.7061 1.7996 1.6804 1.9032 1 .58 23 1.72 85 1 .57 02 1.9311 1.6944 1.8799 1 .57 65 1.9 250 1 .53 87 1.6763 1.7929 1 .55 84 1.9717 1.62 25 1. 958 3 1 .56 26 1.9191 2...

Ngày tải lên: 01/07/2014, 08:39

... annualized volatility (σ) of the underlying asset is 25 percent The BSM calculation yields $12.3360: 77 78 BACKGROUND OF THE BINOMIAL LATTICE AND BLACK-SCHOLES MODELS  ln( S / X) + (rf + σ Call = SΦ ... simulation approach for estimating European options, a series of forecast stock prices are created using the Geometric Brownian Motion stochastic process, and the options maximization...

Ngày tải lên: 01/07/2014, 08:39

... 76 .82 79.96 174.90 105.75 111 .83 100.00 1 18. 26 84 .56 105.75 125.06 89 .42 100.00 111 .83 132.25 84 .56 94.56 105.75 1 18. 26 57. 18 79.96 89 .42 100.00 111 .83 125.06 139 .85 1 58. 39 94.56 165.39 147 .89 89 .42 ... 89 .42 1 58. 39 139 .85 100.00 147 .89 132.25 94.56 139 .85 125.06 84 .56 1 18. 26 89 .42 111 .83 105.75 111 .83 100.00 132.25 67. 18 111 .83 94.56 125.06 63.94 1 1...

Ngày tải lên: 01/07/2014, 08:39

... Period Historical Stock Prices Stock Price Relative Returns Natural Logarithm of Stock Price Returns (X) $100 $125 $ 95 $105 $155 $146 — $125/$100 = 1.25 $ 95 /$125 = 0.76 $105/$ 95 = 1.11 $155/$105 ... 1.11 $155/$105 = 1.48 $146/$155 = 0 .94 — LN ($125/$100) = 0.2231 LN ($ 95 /$125) = –0.2744 LN ($105/$ 95 ) = 0.1001 LN ($155/$105) = 0.3 895 LN ($146/$155) = –0.0 598 The volatilit...

Ngày tải lên: 01/07/2014, 08:39

... 0.04 0.22 –0.23 1 .10 –1.07 –0.15 Forecast Values 100 .00 90.00 80.00 70.00 60.00 50.00 40.00 30.00 20.00 10. 00 0.00 0.0000 0 .100 0 0.2000 0.3000 0.4000 0.5000 0.6000 FIGURE 10. 1 Stock price forecast ... Convergence in Binomial Lattice Steps $17.20 S17 .10 Option Value $17.00 $16.90 Black-Scholes $16.80 $16.70 $16.60 $16.50 10 100 100 0 100 00 Lattice Steps FIGURE 10. 4 Converg...

Ngày tải lên: 01/07/2014, 08:39

... $12.30 $11. 82 $11. 38 Suboptimal (2.2) $15.68 $14.94 $14.26 $13.64 $13.06 $12.53 $12.04 $11. 58 $11. 16 Suboptimal (2.0) Suboptimal (1.8) $14.82 $14.16 $13.55 $12.99 $12.47 $11. 99 $11. 55 $11. 13 $10.75 ... $14.44 $13.49 $12.61 $11. 80 $11. 05 $10.35 $ 9.71 Suboptimal (2.8) $16.51 $15.41 $14.38 $13.44 $12.57 $11. 76 $11. 01 $10.32 $9.68 Suboptimal (2.6) $16.41 $15.31 $14.30 $13.37 $12.50 $1...

Ngày tải lên: 01/07/2014, 08:39

... traded on the open market Overhang: The percentage of the company’s stock that is devoted to options The calculation is the number of options granted and outstanding, plus the number of shares ... Dimensions of the Problem EXECUTIVE WEALTH AND THE POSITIVE POWER OF GREED News stories have illustrated the magnitude of the wealth that executives can reap...

Ngày tải lên: 21/12/2013, 01:19

... Market Streetsmart Guide to Valuing a Stock The Savvy Investor’s Key to Beating the Market Second Edition Gary Gray, Patrick J Cusatis, and J Randall Woolridge McGraw-Hill New York Chicago San ... international appeal Ana Vizcay and Eduardo Iriso, Mar a Jesus Ruiz Ciord a and Emilio Goicoechea, Luis Arguelles and Merche Amezgaray, José Marí Marco and Carmela Garral...

Ngày tải lên: 21/12/2013, 01:19

... systematic pricing errors, namely underpricing of short-term deep OTM options, overpricing of long-term deep OTM options, and underpricing of deep ITM options This is consistent with our diagnostics of ... risk) with stochastic interest rates; (ii) the SV model of stock returns with non -stochastic risk-free interest rates; (iii) the stochastic interest...

Ngày tải lên: 21/12/2013, 01:20

... financial statements in an effort to find stocks that are 21 22 STREETSMART GUIDE TO VALUING A STOCK undervalued or overvalued—which are what most research analysts in fundamental analysis Many ... Valuation—Art, Science, or Magic? Stock Valuation Approaches: Fundamental, Technical, and MPT Stock Value, Stock Price, and Emotions Stock Value, Stock Price, and Analyst Re...

Ngày tải lên: 24/01/2014, 06:20

... and the cost of debt for public firms, there is no evidence on the effect of audit quality of Bigaudit firms and Second-Tier audit firms on the cost of capital of their clients, especially in the ... for clients of Second-Tier audit firms is compared to the cost of capital of Big -audit firms in terms of the expected effe...

Ngày tải lên: 03/06/2014, 02:15