Employee Stock Option Valuation with Earnings-Based Vesting Condition
| dc.contributor.advisor | McWalter, Thomas | |
| dc.contributor.advisor | Musvosv, Chiedza | |
| dc.contributor.author | Patel, Kavir | |
| dc.date.accessioned | 2019-02-11T13:18:16Z | |
| dc.date.available | 2019-02-11T13:18:16Z | |
| dc.date.issued | 2018 | |
| dc.date.updated | 2019-02-11T11:05:25Z | |
| dc.description.abstract | The valuation of employee stock options has become a key requirement due to the rapid growth in the use of these options as a means of employee compensation. IFRS 2 Share-based Payment stipulates that these instruments must be valued and expensed on the date the awards are issued. This dissertation aims to value an employee stock option, in a case where both the equity and vesting (performance) condition are based on a reported earnings process. The equity dependency on earnings stems from the fact that we are primarily concerned with the valuation of employee stock options that are issued by a private firm. We implement a capital structure framework provided by Goldstein, Ju and Leland (2001). In this framework, equity and debt are derived from an underlying EBIT process that is governed by a geometric Brownian motion. The model also accounts for taxation and bankruptcy. The research aim is addressed by incorporating the capital structure model into our employee stock option pricing framework. | |
| dc.identifier.apacitation | Patel, K. (2018). <i>Employee Stock Option Valuation with Earnings-Based Vesting Condition</i>. (). University of Cape Town ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management. Retrieved from http://hdl.handle.net/11427/29471 | en_ZA |
| dc.identifier.chicagocitation | Patel, Kavir. <i>"Employee Stock Option Valuation with Earnings-Based Vesting Condition."</i> ., University of Cape Town ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2018. http://hdl.handle.net/11427/29471 | en_ZA |
| dc.identifier.citation | Patel, K. 2018. Employee Stock Option Valuation with Earnings-Based Vesting Condition. University of Cape Town. | en_ZA |
| dc.identifier.ris | TY - Thesis / Dissertation AU - Patel, Kavir AB - The valuation of employee stock options has become a key requirement due to the rapid growth in the use of these options as a means of employee compensation. IFRS 2 Share-based Payment stipulates that these instruments must be valued and expensed on the date the awards are issued. This dissertation aims to value an employee stock option, in a case where both the equity and vesting (performance) condition are based on a reported earnings process. The equity dependency on earnings stems from the fact that we are primarily concerned with the valuation of employee stock options that are issued by a private firm. We implement a capital structure framework provided by Goldstein, Ju and Leland (2001). In this framework, equity and debt are derived from an underlying EBIT process that is governed by a geometric Brownian motion. The model also accounts for taxation and bankruptcy. The research aim is addressed by incorporating the capital structure model into our employee stock option pricing framework. DA - 2018 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2018 T1 - Employee Stock Option Valuation with Earnings-Based Vesting Condition TI - Employee Stock Option Valuation with Earnings-Based Vesting Condition UR - http://hdl.handle.net/11427/29471 ER - | en_ZA |
| dc.identifier.uri | http://hdl.handle.net/11427/29471 | |
| dc.identifier.vancouvercitation | Patel K. Employee Stock Option Valuation with Earnings-Based Vesting Condition. []. University of Cape Town ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2018 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/29471 | en_ZA |
| dc.language.iso | eng | |
| dc.publisher.department | African Institute of Financial Markets and Risk Management | |
| dc.publisher.faculty | Faculty of Commerce | |
| dc.publisher.institution | University of Cape Town | |
| dc.subject.other | Mathematical Finance | |
| dc.title | Employee Stock Option Valuation with Earnings-Based Vesting Condition | |
| dc.type | Master Thesis | |
| dc.type.qualificationlevel | Masters | |
| dc.type.qualificationname | MPhil |