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Valuing Employee Stock Options

توضیحات

Praise for VALUING EMPLOYEE STOCK OPTIONS

"Veritas has modeled the valuation of its employee stock options for analytical purposes using a proprietary customized binomial lattice developed by Dr. Johnathan Mun. The valuation based on the customized binomial lattice model allows us to take into account the impacts of multiple vesting periods, employee suboptimal exercise behavior, forfeiture rates, changing risk-free rates, and changing volatilities over the life of the option. . . . The customized binomial lattice model resulted in a considerably lower expense, considering the expensing guidelines included in the FAS 123."
–Don Rath, Vice President, Tax and Stock Administration, Veritas Software Corporation

"This is one of those rare books written in anticipation of a major shift in the industry and economy. FAS 123 will throw a lot of public companies into a frenzy . . . the smart ones are identifying the opportunity to master the process and take over the driver's seat. The methodology and the tools developed by Dr. Johnathan Mun are proven, pragmatic, and offer a great deal of value and benefit to those early adopters."
–Dr. Markus Junginger, Managing Partner, IBCOL Consulting

"After extensive review of the FASB exposure draft and consideration of a variety of option valuation methodologies, E*TRADE FINANCIAL has decided to implement a binomial lattice model in Equity Edge, our stock plan management and reporting software. We found Dr. Mun's work on employee stock option pricing very valuable."
–Naveen Agarwal, Director, Product Management, E*TRADE FINANCIAL Corporation


JOHNATHAN MUN is Vice President of Analytical Services at Decisioneering, Inc., the makers of Crystal Ball® analytical software. His duties focus primarily on heading up the development of real options and financial analytics software powered by Crystal Ball. Prior to joining Decisioneering, he was a consulting manager and financial economist in the Valuation Services and Global Financial Services practice of KPMG Consulting, and a manager with the Economic Consulting Services practice at KPMG LLP. He holds a PhD in finance and economics, and an MBA and MS in management. Mun is also certified in financial risk management and in financial consulting. He is currently a visiting professor in finance, economics, and statistics at various universities, including the University of Applied Sciences (Germany), the Swiss School of Management (Switzerland), and Golden Gate University (California). Mun is the author of Applied Risk Analysis, Real Options Analysis, and Real Options Analysis Course, all published by Wiley. He continues to offer worldwide seminars and lectures on the topics of real options, simulation and risk analysis, and corporate finance.
List of Figures and Tables.

Preface.

Acknowledgments.

About the Author.

PART ONE: IMPACTS OF THE NEW FAS 123 METHODOLOGY.

Chapter 1. Implications of the New FAS 123 Requirements.

Chapter 2. The 2004 Proposed FAS 123 Requirements.

Chapter 3. Impact on Valuation.

Chapter 4. Haircuts on Nonmarketability, Modified Black-Scholes with Expected Life, and Dilution.

Chapter 5. Applicability of Monte Carlo Simulation.

Chapter 6. Expense Attribution Schedule.

PART TWO: TECHNICAL BACKGROUND OF THE BINOMIAL LATTICE AND BLACK-SCHOLES MODELS.

Chapter 7. Brief Technical Background.

Chapter 8. Binomial Lattices in Technical Detail.

Chapter 9. The Model Inputs.

PART THREE: A SAMPLE CASE STUDY APPLYING FAS.

Chapter 10. A Sample Case Study.

PART FOUR: OPTIONS VALUATION RESULTS TABLES. 

Appendix: Getting Started with the Options Valuation Results Tables.

Glossary.

Notes.

About the CD-ROM.

Index.