呂育道臺灣大學：財務金融學研究所廖鳳玉Liao, Feng-YuFeng-YuLiao2007-11-282018-07-092007-11-282018-07-092007http://ntur.lib.ntu.edu.tw//handle/246246/60792員工認股權給予員工一權利，約定員工於一定期間內，得依約定價格認購特定數量之公司股份，訂約後由公司發給員工認股權憑證。由此可知，員工認股權為一買權，但是由於其有一些特殊的性質，使其不能使用傳統的選擇權訂價模式評價。在此篇論文當中，將會使用二元樹做為基底模型，並針對稀釋效果、員工可分次執行認股權以及狀態相依員工離職率對二元樹模型做調整。最後，將會以調整過後的模型和現今數個較具代表性的模型相比較。The unique characteristics of employee stock options make traditional option pricing models inapplicable to their valuation without substantial modifications. In this thesis, three extensions are made to the standard binomial tree model. First, the dilution effect is factored into the model. Second, instead of computing the option value based on a specific exercise criterion, the pattern of employees’ exercise behavior is explicitly modeled by the chi-square distribution. The third extension is the addition of a state-dependent employee forfeiture rate. This thesis presents comparative analysis of popular models and the models proposed in this article. Finally, the impacts of the modifications on the fair value of employee stock options are investigated. They lend support to the claim that the proposed models are more realistic.1 Introduction..........................................1 2 Background............................................4 2.1 The FAS 123 Model.....................................5 2.2 The Hull-White Model (2004)...........................6 2.3 The Utility Maximization Model........................7 2.4 The Enhanced American Model...........................8 3 The Employee Stock Option Valuation Model............11 3.1 The Dilution Model...................................11 3.2 The Early Exercise Model.............................13 3.3 The Employee Forfeiture Rate Model...................18 3.4 The Complete Model...................................20 4 Numerical Results and Comparative Analysis...........21 4.1 The Dilution Effect on the Value of Employee Stock Options.........................................22 4.2 The Approximation of Early Exercise Patterns of Employees by the Chi-Square Distribution..........24 4.3 The State-Dependent Employee Forfeiture Rate.........25 4.4 The Combined Effects.................................27 5 Conclusions..........................................30 Appendix Calculation of Expected Life of Employee Stock Options...32 Bibliography.............................................33360652 bytesapplication/pdfen-US員工認股權二元樹模型稀釋效果員工執行認股權模式員工離職率employee stock optiontree modeldilutionexercise patternemployee forfeiture ratethesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60792/1/ntu-96-R94723022-1.pdf