英文标题：
《A Top-Down Approach for the Multiple Exercises and Valuation of Employee
Stock Options》
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作者：
Tim Leung, Yang Zhou
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最新提交年份：
2019
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英文摘要：
We propose a new framework to value employee stock options (ESOs) that captures multiple exercises of different quantities over time. We also model the ESO holder\'s job termination risk and incorporate its impact on the payoffs of both vested and unvested ESOs. Numerical methods based on Fourier transform and finite differences are developed and implemented to solve the associated systems of PDEs. In addition, we introduce a new valuation method based on maturity randomization that yields analytic formulae for vested and unvested ESO costs. We examine the cost impact of job termination risk, exercise intensity, and various contractual features.
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中文摘要：
我们提出了一个新的框架来评估员工股票期权（ESO），该框架捕获了随时间变化的不同数量的多次行使。我们还对ESO持有人的工作终止风险进行了建模，并将其对既得和非既得ESO回报的影响纳入其中。开发并实现了基于傅里叶变换和有限差分的数值方法来求解相关的偏微分方程组。此外，我们还介绍了一种基于到期随机化的新估值方法，该方法可以得出既得和未既得ESO成本的分析公式。我们考察了工作终止风险、锻炼强度和各种合同特征对成本的影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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