Wycena opcji menedżerskich – wybrane problemy
The value of employee stock options – selected problems

Summary/Abstract: Standard methods for options pricing have been developed for valuing employee stock options (ESO). The main goal of this article is to identify and analyze problems related to the valuation of employee stock options. At the beginning there are analyzed the features of employee stock options that make it difficult to apply standard methods to the valuation, such as: the vesting period, the employee exit rate (e), the early exercise multiple (M). The practical issues are made for employee stock options offered to employees of one of the companies listed on the Stock Exchange in Warsaw. For this purpose binomial trees were used, as one of the numerical models which can be used. Research shows that standard methods for options pricing overestimate the value of ESO. It is therefore necessary to take account of specific features of ESO. The simulations have confirmed that the employee exit rate and the early exercise multiple must be included in the valuation model.

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