THE PRICE‐TAKER EFFECT ON THE VALUATION OF EXECUTIVE STOCK OPTIONS
研究发现，由于行权限制和缺乏流动性，高管股票期权通常被低估，但考虑高管努力、自我认知和信心后，期权价值可能高于传统模型估值。
Abstract Because of vesting requirements and the absence of liquidity, executive stock options are valued at less, and often far less, than Black–Scholes–Merton values. We argue that this view assumes the subtle condition that option holders are price takers and therefore cannot influence the payoffs of their options, an assumption that clearly contradicts the very reason for granting options. We build a model to incorporate the executive's effort and perception of his quality, private beliefs, and confidence to show that these options are worth considerably more than previously believed and under some conditions even more than Black–Scholes–Merton values.