Pricing of Employee Stock Options Using Trinomial Tree

Michał Łukowski

doi:https://doi.org/10.59139/ps.2010.04.7

Michał Łukowski Uniwersytet Ekonomiczny w Poznaniu Przegląd Statystyczny. Statistical Review, vol. 57, 2010, 4, pages: 88-104 Published online: 31 December 2010 DOI https://doi.org/10.59139/ps.2010.04.7

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ARTICLE

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ABSTRACT

The article discusses the construction and pricing of Employee Stock Options Plans. There were presented performance conditions and market conditions that should be taken into account constructing ESOPs. The presented valuation method is based on a trinomial tree, which was modified making it possible to include presented vesting conditions in the pricing model and adapting it to the requirements of International Financial Reporting Standard 2.

KEYWORDS

Employee Stock Options, employee exit rate, multiple rate

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