The Intertemporal Exercise and Valuation of Employee Options
提出一个多期模型，允许风险厌恶的员工随时间策略性地行使期权，发现多期行使显著影响期权对员工的价值和公司成本，尤其在风险厌恶、到期时间和波动率较高时，单期模型会严重低估成本。
We propose a multiperiod model to value employee options allowing for the possibility that a risk-averse employee strategically exercises her options over time rather than at a single date. Our results describing the representative employee's option exercise behavior are broadly consistent with existing empirical evidence. The value of options to the employee and their effective cost to the firm are significantly different from the predictions of a constrained model that assumes “single date” strategic option exercise. The constrained model substantially underestimates the cost of options to the firm when, ceteris paribus, the employee's relative risk aversion and/or the time to maturity and/or the stock volatility exceed respective thresholds. Hence, the incorporation of “multiple-date” exercise has important economic and accounting consequences.