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Employee Stock Options: An Up-and-Out Protected Barrier Call

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Author Info

  • Chris Anderson
  • Neil Brisley

Abstract

A well-known numerical lattice model, widely used to value employee stock options (ESOs), can be interpreted as a variation on the up-and-out protected barrier call, a version of which is valued in closed form by Carr (1995). We clarify that valuation formula and extend it to take account of the reality of possible vesting date exercise by employees.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/13504860902753251
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Mathematical Finance.

Volume (Year): 16 (2009)
Issue (Month): 4 ()
Pages: 347-352

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Handle: RePEc:taf:apmtfi:v:16:y:2009:i:4:p:347-352

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Related research

Keywords: Employee stock options; up-and-out protected barrier call;

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