Estimating the Value of Employee Stock Option Portfolios and Their Sensitivities to Price and Volatility

摘要: The costs associated with compiling data on employee stock option portfolios is a substantial obstacle in investigating the impact of options managerial incentives, accounting choice, financing decisions, and valuation equity. We present an accurate method estimating portfolio value sensitivities to price stock-return volatility that easily implemented using from only current year?s proxy statement or annual report. This can be applied either executive firm-wide plans. In broad samples actual simulated CEO portfolios, we show these proxies capture more than 99% variation sensitivities. Sensitivity analysis indicates degree bias varies characteristics, most severe CEOs large proportion out-of-the-money options. However, proxies' explanatory power remains above 95% all subsamples.