VALUATION OF INDONESIA EMPLOYEE STOCK OPTION USING BINOMIAL METHOD
Employee stock option (ESO) is a call option which is provided for free by the company (Writer) to a certain group of employees (Holder) on its own companys shares. There are several models to value the ESO, one of the Models is ESO Model of Hull-White, this model become standard rule to value the E...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/16592 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Employee stock option (ESO) is a call option which is provided for free by the company (Writer) to a certain group of employees (Holder) on its own companys shares. There are several models to value the ESO, one of the Models is ESO Model of Hull-White, this model become standard rule to value the ESO in the United States of America. Indonesia Employee Stock Option (IESO) have a <br />
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unique form from the other ESO models, among of which there is a path dependent option issues relating to the average asset price which the payoff type of average strike Asian Option, there is an early exercise, the exercise period more than once, so the problem is how to determine the risk if the employee exercises the ESO. Binomial Method can be used to solve the problems of IESO, since it can be used to describe the path of movement of the asset price. We will discuss two models of Asian options using Binomial Method, that is Asian Option Model of Costabile, Massimo, Russo (CMR) and Asian Option Model of Hull White (HW). The combination of CMR Model, HW Model, and adaptation of some features of the Hull White ESO Model will be used to solve the problems of IESO. |
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