| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士班 === 97 === After Financial Accounting Standards No. 39 “Share-based Payment” formally carried out, it is necessary to assess the fair value of the employee stock options, which will result in direct or indirect impacts on financial statements. In the way of the fair value method on pricing employee stock options, we will recognize higher expense through conventional Black-Scholes or binomial option pricing model. This would lead to the decrease in net income on Income Statement, and hence diluting the earnings per share (EPS). Furthermore, the conventional pricing model would easily overvalue the additional pay-in-capital on Balance Sheet, therefore, causing to undervalue return on equity (ROE) and return on assets (ROA).Therefore, the main purpose of this study is to price employee stock options by using barrier option model in hope to obtain more reasonable and fair values. The empirical results indicate that pricing the employee stock options by using barrier option model would generate less fair value than by using Black-Scholes or binomial option pricing model. This would help to improve the situation for undervaluing net income on Income Statement and overvaluing the stockholder equity; and further to avoid underestimating EPS, ROE, and ROA. Finally, based on sensitivity analysis, in addition to cancellation rate, the average maturity, stock price under exercise to exercise price ratio, and the correlation between the former two could play an important role of pricing Taiwanese employee stock options.
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