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ffirs.qxd PM Page iii. ffirs.qxd PM Page i. ffirs.qxd PM Page ii. No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior...
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The 2004 Proposed FAS 123 Requirements. FAS 123 BACKGROUND. The proposed 2004 FAS 123 revision explains that a better estimate of the fair value of an employee share option may be obtained by using a bino- mial lattice model that incorporates employees’ expected exercise and ex- pected post-vesting employment termination behavior than by using a closed-form model (such as the...
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A BRIEF DESCRIPTION OF THE DIFFERENT METHODOLOGIES. SELECTION AND JUSTIFICATION OF THE PREFERRED METHOD. 2 This is because the BSM is applicable only to European options without dividends, where the holder of the option can exercise the option only on its maturity date and the underlying stock does not pay any dividends. However, most ESOs are American-type 4 options with...
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ESOs are neither directly transferable to someone else nor freely tradable in the open market. Under such circumstances, it can be argued based on sound financial and economic theory that a nonmarketability and non- transferability discount can be appropriately applied to the ESO. A simple and direct application of a discount should not be based on an arbitrarily chosen percentage...
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Applicability of Monte Carlo Simulation. While Black and Scholes’ derivations are mathematically complex, other approaches broached in this book, namely those using Monte Carlo simulation and binomial lattices, provide much simpler appli- cations but at the same time enable a similar wellspring of information. 1 In fact, applying binomial lattices with Monte Carlo simulation has been made much easier with...
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To illustrate the separate awards or minigrant expense allocation, Table 6.1 shows the total ESO valuation results. TABLE 6.1(Continued) Options Valuation (Monthly) DateConservativeAggressiveAverage Jan February March April May June July August September October November December Jan February March April May June July August September October November December Options Valuation (Cliff Vesting) DateConservativeAggressiveAverage Jan February March April May June July August...
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Technical Background of the Binomial Lattice and Black-Scholes Models. where Φ is the cumulative standard-normal distribution function S is the value of the forecast stock price at grant date X is the option’s contractual strike price. rf is the nominal risk-free rate σ is the annualized volatility. T is the time to expiration of the option. To illustrate its use,...
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For in- stance, A + B = C is a closed-form equation, where given any two of the three variables, you obtain a unique answer to the third variable. The results from closed-form solutions may be used in conjunction with the binomial lattice approach when presenting a complete ESO valuation solution. Notice that even in this simplified example, as the...
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The stock price required for the ESO valuation analysis is based on some future grant date’s stock price forecast. Typically, the strike price is set to the stock price at grant date, or issued at-the-money. In an options world, the binomial lattice is created based on the evolution of the underlying stock price starting at grant date to forecast the...
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A Sample Case Study. T his chapter provides an example case study with detailed empirical justi- fications for the input assumptions used in the ESO valuation. The following sections describe how each of the inputs was derived in the valuation analysis. The case study here goes through in selecting and justifying each input parameter in the customized binomial lattice model,...
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Stock Price and Strike Price of $20, Maturity of 3 Years, Risk-Free Rate of 3.5%, 35% Volatility, 0% Dividends, Vesting of 1 Month, Employee Suboptimal Exercise Behavior from 1.2 to 3.0, and Forfeiture Rate from 0% to 40%.. Stock Price and Strike Price of $40, Maturity of 3 Years, Risk-Free Rate of 3.5%, 35% Volatility, 0% Dividends, Vesting of 1...