Employee stock option exercise behavior and valuation

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167166_Ellis_rpi_0185E_10078.pdf (1.48 MB)
Authors
Ellis, John A.
Issue Date
2013-05
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Electronic thesis
Thesis
Language
ENG
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Management
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Abstract
Observed employee stock option (ESO) exercise behavior differs from that of similar tradable stock options (TSO). ESOs are exercised earlier than traditional option valuation models predict. A general literature conclusion is ESO behavioral differences are due to ESO trading restrictions compromising ESO holder diversification and causing risk-averse ESO holders to value ESOs below similar TSO market values. I present a new theory of ESO exercise behavior and valuation that is not dependent on compromised diversification arguments.
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May 2013
School of Management
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Rensselaer Polytechnic Institute, Troy, NY
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https://hdl.handle.net/20.500.13015/887
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RPI Theses Online (Complete)