Employee Reload Options: Pricing, Hedging, and Optimal Exercise
研究员工再装载期权的定价、对冲和最优行权策略，发现只要期权处于价内就应行权的简单策略，并给出估值公式，对薪酬设计者和金融从业者有参考价值。
Reload options, call options granting new options on exercise, are popularly used in compensation. Although the compound option feature may seem complicated, there is a distribution-free dominant policy of exercising reload options whenever they are in the money. The optimal policy implies general formulas for numerical valuation. Simpler formulas for valuation and hedging follow from Black–Scholes assumptions with or without continuous dividends. Time vesting affects the optimal policy, but numerical results indicate that it is nearly optimal to exercise in the money whenever feasible. The results suggest that reload options produce similar incentives as employee stock options and share grants.