Employee Stock Options: Exercise Timing, Hedging, And Valuation

Employee Stock Options: Exercise Timing, Hedging, And Valuation by Tim Siu-Tang Leung

Employee stock options (ESOs) are an integral component of compensation in the US. In fact, almost all S&P 500 companies grant options to their top executives, and the total value accounts for almost half of the total pay for their CEOs. In view of the extensive use and significant cost of ESOs to firms, the Financial Accounting Standards Board (FASB) has mandated expensing ESOs since 2004. This gives rise to the need to create a reasonable valuation method for these options for most firms that grant ESOs to their employees. The valuation of ESOs involves a number of challenging issues, and is thus an important active research area in Accounting, Corporate Finance, and Financial Mathematics.In this exciting book, the author discusses the practical and challenging problems surrounding ESOs from a financial mathematician's perspective. This book provides a systematic overview of the contractual features of ESOs and thoughtful discussions of different valuation approaches, with emphasis on three major aspects: (i) hedging strategies; (ii) exercise timing; and (iii) valuation methodologies. In addition to addressing each of these categories, this book also highlights their connections and combined effects of the cost of ESOs to firms, as well as examines the implications to modeling and valuation approaches. The book features a unique approach that combines stochastic modeling and control techniques with option pricing theory, and provides formulas and numerical schemes for fast implementation and clear illustration.

Tim Leung is a tenure-track Assistant Professor at Columbia University's Industrial Engineering and Operations Research (IEOR) Department. He is also an affiliated faculty member of the Center for Financial Engineering, and Data Sciences Institute at Columbia. He received a PhD in Operations Research & Financial Engineering (ORFE) from Princeton University. Dr. Leung's research areas are Financial Engineering and Optimal Stochastic Control, with a focus on the valuation of financial derivatives, and associated risk management and trading strategies. He has written extensively on exchange-traded funds (ETFs). His research has been funded by the National Science Foundation (NSF). He has published in various Financial Mathematics journals, including Mathematical Finance, Finance and Stochastics, SIAM Journal on Financial Mathematics, and Quantitative Finance. He is also an officer of the SIAM SIAG on Financial Mathematics and Engineering, and the INFORMS Finance Section.

SKU	Non disponible
ISBN 13	9789813209633
ISBN 10	9813209631
Titre	Employee Stock Options: Exercise Timing, Hedging, And Valuation
Auteur	Tim Siu-Tang Leung
Série	Modern Trends In Financial Engineering
État	Non disponible
Type de reliure	Hardback
Éditeur	World Scientific Publishing Co Pte Ltd
Année de publication	2021-08-11
Nombre de pages	228
Note de couverture	La photo du livre est présentée à titre d'illustration uniquement. La reliure, la couverture ou l'édition réelle peuvent varier.
Note	Non disponible