Arbeitspapier
The Cost of Employee Stock Options
This paper determines the cost of employee stock options (ESOs) to shareholders. I present a pricing method that seeks to replicate the empirics of exercise and cancellation as good as possible. In a first step, an intensity-based pricing model of El Karoui and Martellini is adapted to the needs of ESOs. In a second step, I calibrate the model with a regression analysis of exercise rates from the empirical work of Heath, Huddart and Lang. The pricing model thus takes account for all effects captured in the regression. Separate regressions enableme to compare options for top executives with those for subordinates. I find no price differences. The model is also applied to test the precision of the fair value accounting method for ESOs, SFAS 123. Using my model as a reference, the SFAS method results in surprisingly accurate prices.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper Series: Finance & Accounting ; No. 123
- Klassifikation
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
Compensation Packages; Payment Methods
Accounting
Personnel Economics: Compensation and Compensation Methods and Their Effects
- Thema
-
Arbeitskosten
Optionspreistheorie
Bilanzielle Bewertung
Theorie
Aktienoption
Fair-Value-Bilanzierung
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Raupach, Peter
- Ereignis
-
Veröffentlichung
- (wer)
-
Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
- (wo)
-
Frankfurt a. M.
- (wann)
-
2003
- Handle
- URN
-
urn:nbn:de:hebis:30-16972
- Letzte Aktualisierung
- 10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Raupach, Peter
- Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
Entstanden
- 2003
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