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

Chris Anderson and Neil Brisley ()

Applied Mathematical Finance, 2009, vol. 16, issue 4, 347-352

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.

Keywords: Employee stock options; up-and-out protected barrier call (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1080/13504860902753251

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