"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
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.