員工認股權的評價：以三元樹模型

Pricing Executive Stock Options: Using a Trinomial Tree

何玠澤(CHIEH-TSE HO)

指導教授 ： 楊曉文

國立中央大學/管理學院/財務金融學系/碩士(2012年)

摘要

近年來員工認股權被廣泛使用作為激勵員工的手段，這種獎勵方式可讓員工與股東的目標一致。但員工認股權相對於一般美式選擇權也多了一些限制，譬如其無法在公開市場進行交易、授予期(Vesting period)的限制等等，使得它會面臨一些評價上的困難。而當會計上需要將員工認股權的發放認列為成本之時，正確的評價就很重要了。因為無法公開交易員工認股權，持有者無法避險，評價時須考慮風險偏好、加入效用模型(utility-based model)。本文使用公司資產的三元樹模型來模擬公司資產的變化，並且將多點執行(Multiple Exercise)以及選擇權執行時公司價值的改變納入評價模型，另外，也考慮了稅盾、破產成本與選擇權執行時所造成的稀釋效果。 本文評價了員工認股權的主觀價值及客觀價值，證明了員工認股權的發放對普通債持有人有正的外溢效果，也探討了最適資本結構在員工認股權發放之後所產生的改變。

關鍵字

三元樹模型 ； 員工認股權 ； 多點執行

並列摘要

For last decade, employee or executive stock options(ESOs) have been used widely as compensation. This method can align the goal of employees and stockholders. Because ESOs can account for a lot of cost to company, pricing ESOs correctly is important. But there are more limits on employee stock option than ordinary American options. Therefore, pricing ESOs correctly is difficult and many literatures made research on it. Because ESOs are not tradable in public, the holders can’t hedge the risk. We should take risk preferences into account and use utility-based model while pricing ESOs. This essay uses trinomial structure to model the changes of firm value. We value the options assuming that the employee may exercise his/her options in multiple future dates. Moreover, the firm value would increase upon options exercising. So we take this effect into account and consider tax shield effect, bankruptcy cost, and dilution effect, too. This essay values the effective cost of ESOs to shareholders and the subjective value of it while proving the positive effect of issuing ESOs to bond holders and discovering the changes of optimal capital structure after issuing ESOs.

並列關鍵字

Trinomial Structure ； Employee Stock Option

參考文獻

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