Estimating the "Fair Value" of Employee Stock Options with Expected Early Exercise.
评估美国财务会计准则委员会提出的用预期期限代替合同期限来估计员工股票期权公允价值的方法，发现这会导致高估，并提出一种更不易高估的调整方案。
Abstract The Financial Accounting Standards Board (FASB) recently issued an Exposure Draft which proposes that firms recognize as compensation expense the estimated fair value of their employee stock option (ESO) grants. A key problem in obtaining value estimates for ESOs is that employees may favor early exercise of ESOs due to restrictions placed on ESO transferability. Since the problem of potential early exercise does not apply to traded options, standard option valuation models developed for traded stock options cannot be applied directly to ESOs. Consequently, the issue of uncertain early exercise is among the most conceptually challenging in valuing ESOs. To address this problem of early exercise, the FASB proposes that firms should base the valuation on the expected rather than the full contract term of the ESOs. The purpose of this paper is to evaluate the valuation implications of this approach. Specifically, we provide theoretical as well as empirical evidence that simply substituting the expected term of the ESOs for the actual contract time in standard option valuation models will most likely result in overstating the fair value to the firm of granting ESOs. We also propose a relatively simple adjustment which we believe is less likely to produce such overstatement while still taking into account all the parameters which give value to ESOs.