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Employee Stock Options: An Up-and-Out Protected Barrier Call
Articles and Chapters
  • Chris K. Anderson, Cornell University
  • Neil Brisley, University of Western Ontario
Publication Date
1-1-2009
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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Required Publisher Statement
© Taylor & Francis . Final version published as: Anderson, C. K., & Brisley, N. (2009). Employee stock options: An up-and-out protected barrier call. Applied Mathematical Finance, 16(4), 347-352. DOI: 10.1080/13504860902753251. Reprinted with permission. All rights reserved.

Citation Information

Anderson, C. K., & Brisley, N. (2009). Employee stock options: An up-and-out protected barrier call [Electronic version]. Retrieved [insert date], from Cornell University, School of Hospitality Administration site: http://scholarship.sha.cornell.edu/articles/412