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| Author: | Core, J. Guay, W. |
| Title: | Estimating the value of employee stock option portfolios and their sensitivities to price and volatility |
| Journal: | Journal of Accounting Research
2002 : JUN, VOL. 40:3, p. 613-630 |
| Index terms: | SHARE INCENTIVE SCHEMES Portfolio management Share prices Valuation Volatility |
| Language: | eng |
| Abstract: | The costs associated with compiling data on employee stock option portfolios is a substantial obstacle in investigating the impact of stock options on managerial incentives, accounting choice, financing decisions and the valuation of equity. An accurate method for estimating option portfolio value and the sensitivities of option portfolio value to stock price and stock-return volatility that is easily implemented using data from only the current year's proxy statement or annual report is presented. The method can be applied to either executive stock option portfolios or to company-wide option plans. |
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