PENENTUAN NILAI OPSI SAHAM KARYAWAN (OSK) DENGAN MENGGUNAKAN EFEK DILUSI, POLA EXERCISE, DAN LAJU KARYAWAN YANG MENINGGALKAN PERUSAHAAN

• Main Author: Maulana, Heru
• Format: Theses
• Language: Indonesia
• Subjects: Matematika
• Online Access: https://digilib.itb.ac.id/gdl/view/34031
• Institution: Institut Teknologi Bandung

Employee Stock Option (ESO) is a type of call options which granted to employees of a company for free as a form of compensation to its employees. ESO entitles employees to buy shares of the company within a period of time and certain vesting period. ESO has a difference with the usual options traded, so this is what distinguishes it calculated from the other types of options. In this thesis will be used the CRR binomial method (Cox-Ross-Rubinstein) in calculating the fair value of ESO, which applied in several models, which are popular models and the new models. The models are SFAS 123 (R) model, and the Hull-White model, as well as new models that dilution model, early exercise model, employee forfeiture rate model and complete model, where the four models have taken into account the dilution effect, employee exercise patterns and the rate of employees who left the company. Then the results of the four new models will be compared with the SFAS 123 (R) model, and the Hull-White model. At the end of this thesis will also be shown the influence of several specific parameters to the ESO’s value. Parameters which observed are volatility parameter, interest rate, dividends, and employees forfeiture rate.