| 摘要 |
The current invention is a system and method to calculate the value of a non-tradable option such as an employee stock option, considering characteristics such as term structure in interest rates, volatility and dividends, constraints such as vesting and black-out periods as well as voluntary and involuntary early exercise patterns prescribed as a function of stock price, time or both. The stock price path is simulated using the drivers such as the future expectations of interest rates, volatility and dividends. In each simulation the exercise or expiry event of the option are determined applying explicit constraints such as vesting and black-out periods and voluntary or involuntary early exercise patterns based on stock price, time or both. In each simulation, the option value is calculated as the discounted value of the option at exercise or expiry (if it is in the money), discounted using the term structure of interest rates. The value of the option is calculated as the average of the option values obtained from a large number of such simulations. Similarly, the expected holding period and the probability of exercise in the money are calculated as the average of the time to exercise or expiry and the binary outcome of exercise in a large number of simulations.
|
