Employee Reload Options: Pricing, Hedging, and Optimal Exercise
研究员工薪酬中常用的再装载期权，发现无论分布如何，只要期权处于价内状态就应行权，并给出数值定价与对冲公式，对薪酬设计者有用。
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.