不確定持有期間模型下之員工選擇權評價

The Valuation of Employee Stock Option in the Uncertainty Holding Period

林冠宇(Kuan-Yu Lin)

指導教授 ： 李賢源

共同指導教授 ： 葉小蓁(Hsiaw-Chan Yeh)

國立臺灣大學/管理學院/財務金融學研究所/碩士(2004年)

https://doi.org/10.6342/NTU.2004.10073

摘要

員工選擇權（Employee stock options, ESOs）該如何合理評價，並列入公司財務報表中反應成本等問題，一直都是爭論的焦點話題。而近年來，釵h公司發放大量的員工選擇權，而無適當地列入公司的營運成本之一，衍生相關的問題。有鑑於此，近年來國際性的會計組織，如美國財務會計準則委員會（Financial Accounting Standards Board, FASB）與國際會計準則委員會（International Accounting Standards Committee, IASC），傾向建議公司將發放的員工選擇權改列為成本，並合理反應在公司財務報表當中。

因為員工選擇權屬於衍生性金融商品的一種，且其特性與一般的選擇權亦有些不同之處，使得評價這些員工選擇權的成本與價值必須加以調整。其中一個主要的問題即是，員工可能會因為一些個人或客觀因素的考量，提前執行手中的員工選擇權，造成選擇權持有期間的不確定性。因此，如何合理的描述這些特性，並反應於員工選擇權的評價上，為本篇論文所欲探討的重點。

本篇論文主要研究員工選擇權的不確定持有期間，及運用不同持有期間模型，對員工選擇權評價所造成的影響。因此，考慮了員工選擇權的相關特性，與模型設定，企圖找尋更合理的評價模式。

關鍵字

選擇權評價模型 ； 持有期間 ； 員工選擇權

並列摘要

According to the recent accounting principles in International Accounting Standards Committee (IASC) and Financial Accounting Standards Board (FASB) documented the employee stock options (ESOs) as cost reasonably, and revealed in companies financial reports. Because of the many features of ESOs, it becomes difficult to value these specific options. A main problem in estimating for ESOs is that employees may like to early exercise of their options, due to some restrictions on ESO transferability. Therefore, how to reasonably value the ESOs and capture the feature of the uncertain early exercise is what this study would present.

This study would discuss the uncertainty of early exercise form employees. Furthermore, it also discussed the effects on valuation of ESOs when considered the different kinds of setting on exercise behaviors. Here used some distributions in statistics to simulate this uncertainty on ESOs. Consequently, after considering the features of employee option, the comparison of different valuation techniques would provide a better way in pricing the ESOs.

並列關鍵字

option pricing model ； employee stock options ； holding period

參考文獻

Brenner, Menachem; Rangarajan K. Sundram; and David Yermack (2000), ‘Altering the terms of executive stock options’, Journal of Financial Economics 57, pp.103-128.

Carpenter, J. (1998), ‘The Exercise and Valuation of Executive Stock Options’, Journal of Financial Economics, Vol. 48, No. 2, pp. 127–58.

Cuny, J.C. and P. Jorion (1995), ‘Valuing Executive Stock Options With Endogenous Departure’, Journal of Accounting and Economics,Vol. 20, pp. 193–205.

Hemmer, T., S. Matsunaga and T. Shevlin (1996), ‘The Influence of Risk Diversification on the Early Exercise of Employee Stock Options by Executive Officers’, Journal of Accounting and Economics, Vol. 21, pp. 45–68.

International Accounting Standards Committee (2003), Accounting for Sharebased Payment.