員工選擇權

Abstract

這篇論文討論員工持有員工選擇權同時他能買賣市場資產時他的行為為何。我們利用離散時間求效用最大化的模型去找出員工的行為及員工選擇權對員工的價值，因為此選擇權的持有者被規定不能買賣公司的股票，同時假設員工是趨避風險的，因此不能用公司股票去做選擇權避險下在造成員工選擇權的價值會小於一般的選擇權。 我們找出歐式與美式選擇權的價值及投資策略的公式。當公司股價與市場資產之間的相關性增加時會減少員工投資在市場資產的數量，當此員工越怕風險時員工選擇權對員工的價值會越低。同時可以發現當員工越怕風險他越有可能提早執行員工選擇權。我們的模型可以很直接地得到此些結果。

This paper discusses the behavior of an employee who receives employee stock options (ESOs) and trades on the market portfolio. We propose a discrete time utility maximization model to nd the employee behavior and the value of the ESOs to the employee. Since the ESOs holder is not allowed to trade company stocks and he is risk averse, the unhedgeable rm risk leads ESOs to have less value than ordinary options. We fi nd the formula for the investment strategies and the value of the ESOs, both European style and American style . An increase in the correlation between the stock and the market portfolio decreases the amount of investment in the market portfolio, and an increase in risk aversion ecreases the value of the ESOs to the employee. Also if the employee is more risk averse he will exercise the ESOs earlier. Our model gives these results directly.