Analysis of Employee Stock Options and Guaranteed Withdrawal Benefits for Life

@inproceedings{Shah2008AnalysisOE,
  title={Analysis of Employee Stock Options and Guaranteed Withdrawal Benefits for Life},
  author={Premal Shah},
  year={2008}
}
In this thesis we study three problems related to financial modeling. First, we study the problem of pricing Employee Stock Options (ESOs) from the point of view of the issuing company. Since an employee cannot trade or effectively hedge ESOs, she exercises them to maximize a subjective criterion of value. Modeling this exercise behavior is key to pricing ESOs. We argue that ESO exercises should not be modeled on a one by one basis, as is commonly done, but at a portfolio level because… CONTINUE READING