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	Valuing employee reload options under the time vesting requirement
	Dai, M ; Kwok, YK
	2005
关键词	OPTIMAL EXERCISE PLANS
英文摘要	Upon the exercise of an employee stock option, the embedded reload provision entitles the holder to receive additional units of new options from the employer. The number of units of new options received is equal to the number of shares tendered as payment of strike and the new strike is set at the prevailing stock price. The reload provision may be subject to a time vesting requirement, that is, after each exercise, the employee is prohibited from exercising the reload until the end of a vesting period. In this paper, we construct an efficient numerical algorithm that computes the market value of the employee reload options under a time vesting requirement. Also, we explore the analytic properties of the price functions and optimal exercise policies of the employee reload options.; Business, Finance; Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; SCI(E); SSCI; 3; ARTICLE; 1; 61-69; 5
语种	英语
出处	SCI
出版者	quantitative finance
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/254488]
专题	数学科学学院
推荐引用方式 GB/T 7714	Dai, M,Kwok, YK. Valuing employee reload options under the time vesting requirement. 2005-01-01.

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