| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 108 === Recently, employee stock options(ESOs) have been used as compensation widely. It could make employee have the same target as stockholders, but the ESOs have more constrains than call options. Because ESOs can not be traded in the open market and have vesting period that employee cannot exercise. While ESOs being account for the cost of company, Pricing ESOs is much difficult. Due to the holders cannot hedge the risk, the Pricing method cannot under the risk-neutral measure. We have to consider the employee risk preference and using utility-based mode to pricing ESOs. When employee choose the time of doing exercise, he would consider maximization of utility and carry out multi-period and the influence of progressive tax. In this paper, the firm vale are constructed in a trinomial-tree model to simulate effect by employee exercising their ESOs. Moreover, we also consider the tax shield effect, bankruptcy cost, and dilution effect by company issuing new shares to employee. This paper discusses the impact of progressive tax on employee’s multi-period strategy, and the value of ESOs from the perspective of employees and from the perspective of the company.
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