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Title: Valuing employee reload options under the time vesting requirement
Authors: Dai, M. 
Kwok, Y.K.
Issue Date: Feb-2005
Citation: Dai, M., Kwok, Y.K. (2005-02). Valuing employee reload options under the time vesting requirement. Quantitative Finance 5 (1) : 61-69. ScholarBank@NUS Repository.
Abstract: Upon the exercise of an employee stock option, the embedded reload provision entitles the holder to receive additional units of new options from the employer. The number of units of new options received is equal to the number of shares tendered as payment of strike and the new strike is set at the prevailing stock price. The reload provision may be subject to a time vesting requirement, that is, after each exercise, the employee is prohibited from exercising the reload until the end of a vesting period. In this paper, we construct an efficient numerical algorithm that computes the market value of the employee reload options under a time vesting requirement. Also, we explore the analytic properties of the price functions and optimal exercise policies of the employee reload options. © 2005 Taylor & Francis Group Ltd.
Source Title: Quantitative Finance
ISSN: 14697688
DOI: 10.1080/14697680400014336
Appears in Collections:Staff Publications

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