Chapter 24: Options and Corporate Finance: Extensions and Applications

24.1 a. The inputs to the Black–Scholes model are the current price of the underlying asset (S), the strike
price of the option (K), the time to expiration of the option in fractions of a year (t), the variance of
the underlying asset (2), and the continuously–compounded risk–free interest rate (r).

Mr. Levin has been granted 25,000 European call options on Mountainbrook’s stock with 4 years
until expiration. Since these options were granted at–the–money, the strike price of each option is
equal to the current value of one share, or $55.

After identifying the inputs, solve for d1 and d2:

d1 = [ln(S/K) + (r + ½2)(t) ] / (2t)1/2

d1 = [ln(55/55) + {0.054 + ½(0.422)}(4) ] / (0.422*4)1/2= 0.677

d2 = 0.677 – (0.422*4)1/2= –0.1628

Find N(d1) and N(d2), the area under the normal curve from negative infinity to d 1 and negative
infinity to d2, respectively.
N(d1) = N(0.677) =0.7518

N(d2) = N(–0.1628) = 0.4365

According to the Black–Scholes formula, the price of a European call option (C) on a non–dividend
paying common stock is:

C = SN(d1) – Ke–rtN(d2)
C = (55)(0.7518) – (55)e–(0.054)(4) (0.4365)
= $22.005

The Black–Scholes Price of one call option is $22.005.

Since Mr. Levin was granted 25,000 options, the current value of his options package is $550,133
(= 25,000 * $22.005).

b. Because Mr. Levin is risk–neutral, you should recommend the alternative with the highest net
present value. Since the expected value of the stock option package is worth more than $550,000,
Mr. Levin would prefer to be compensated with the options rather than with the immediate bonus.

c. If Mr. Levin is risk–averse, he may or may not prefer the stock option package to the immediate
bonus. Even though the stock option package has a higher net present value, he may not prefer it
because it is undiversified. The fact that he cannot sell his options prematurely makes it much more
risky than the immediate bonus. Therefore, we cannot say which alternative he would prefer.

24.2 The total compensation package consists of an annual salary in addition to 10,000 at–the–money
stock options. First, we will find the present value of the salary payments. Since the payments
occur at the end of the year, the payments can be valued as a three–year annuity, which will be:

3
PV(Salary) = $400,000 A0.09

Answers to End-of-Chapter Problems B-367

 PV(Salary) = $1,012,517.87

Next, we can use the Black–Scholes model to determine the value of the stock options. Doing so, we
find:

d1 = [ln(S/K) + (r + ½2)(t) ] / (2t)1/2

d1 = [ln($40/$40) + (0.05 + 0.682/2) (3)] / (0.68)(3 ) = 0.7163

d2 = 0.7163 – (0.68 )(3) = –0.4615

Find N(d1) and N(d2), the area under the normal curve from negative infinity to d1 and negative
infinity to d2, respectively. Doing so:

N(d1) = N(0.7163) = 0.7631

N(d2) = N(–0.4615) = 0.3222

Now we can find the value of each option, which will be:

C = S N(d1) – Ke––rtN(d2)
C = $40(0.7631) – ($40e–0.05(3))(0.3222)
C = $19.43

Since the option grant is for 10,000 options, the value of the grant is:

Grant value = 10,000($19.43)

Grant value = $194,303.49

The total value of the contract is the sum of the present value of the salary, plus the option value, or:

Contract value = $1,012,517.87 + 4194,303.19

Contract value = $1,206,821.05

24.3 Since the contract is to sell up to 5 million gallons, it is a call option, so we need to value the
contract accordingly. Using the binomial mode, we will find the value of u and d, which are:

u = e σ/√n
u = e .61/ √12/3
u = 1.36

d=1/u
d = 1 / 1.36
d = 0.735

This implies the percentage increase if gasoline increases will be 36 percent, and the percentage
decrease if prices fall will be 26 percent. So, the price in three months with an up or down move will
be:

PUp = $0.96(1.36)
PUp = $1.31

Answers to End-of-Chapter Problems B-368

 PDown = $0.96(0.74)
P Down = $0.71

The option is worthless if the price decreases. If the price increases, the value of the option per
gallon is:

Value with price increase = $1.31 – $1.00

Value with price increase = $0.31

Next, we need to find the risk neutral probability of a price increase or decrease, which will be:

0.043/(3/12) = 0.36(Probability of rise) –0.26(1 – Probability of rise)

Probability of rise = 0.44

And the probability of a price decrease is:

Probability of decrease = 1 – 0.44

Probability of decrease = 0.56

The contract will not be exercised if gasoline prices fall, so the value of the contract with a price
decrease is zero. So, the value per gallon of the call option contract will be:

C = [0.44($0.31) + 0.56($0)] / [1 + 0.043(3/12)]

C = $0.135

This means the value of the entire contract is:

Value of contract = $0.135(50,000,000)

Value of contract = $6,747,464.75

24.4 Using the binomial mode, we will find the value of u and d, which are:

u = e σ/√ t
u = e .65/√ 12
u = 1.21

d=1/u
d = 1 / 1.21
d = 0.83

This implies the percentage increase is if the stock price increases will be 21 percent, and the
percentage decrease if the stock price falls will be 17 percent. The monthly interest rate is:

Monthly interest rate = 0.05/12

Monthly interest rate = 0.0042

Next, we need to find the risk neutral probability of a price increase or decrease, which will be:

0.0042 = 0.21(Probability of rise) –0.17(1 – Probability of rise)

Probability of rise = 0.4643

Answers to End-of-Chapter Problems B-369

 And the probability of a price decrease is:

Probability of decrease = 1 – 0.4643

Probability of decrease = 0.5357

The following figure shows the stock price and put price for each possible move over the next two
months:

Stock price (D) $ 91.69

Put price $0

Stock price (B) $ 76.00

Put price $ 3.73
Stock price(A) $ 63.00 Stock price (E) $ 63.00
Put price $ 11.21 Put price $ 7.00

Stock price (C) $ 52.22

Put price $ 17.78

Stock price (F) $ 43.29

Put price $ 26.71

The stock price at node (A) is the current stock price. The stock price at node (B) is from an up
move, which means:

Stock price (B) = $63(1.2064)

Stock price (B) = $76.00

And the stock price at node (D) is two up moves, or:

Stock price (D) = $63(1.2064)(1.2064)

Stock price (D) = $91.69

The stock price at node (C) is from a down move, or:

Stock price (C) = $63(0.8289)

Stock price (C) = $52.22

And the stock price at node (F) is two down moves, or:

Stock price (F) = $63(0.8289)(0.8289)

Stock price (F) = $43.29

Finally, the stock price at node (E) is from an up move followed by a down move, or a down move
followed by an up move. Since the binomial tree recombines, both calculations yield the same result,
which is:

Stock price (E) = $63(1.2064)(0.8289) = $63(0.8289)(1.2064)

Stock price (E) = $63.00

Answers to End-of-Chapter Problems B-370

 Now we can value the put option at the expiration nodes, namely (D), (E), and (F). The value of the
put option at these nodes is the maximum of the strike price minus the stock price, or zero. So:

Put value (D) = Max($70 – $91.69, $0)

Put value (D) = $0

Put value (E) = Max($70 – $63, $0)

Put value (E) = $7

Put value (F) = Max($70 – $43.29, $0)

Put value (F) = $26.71

The value of the put at node (B) is the present value of the expected value. We find the expected
value by using the value of the put at nodes (D) and (E) since those are the only two possible stock
prices after node (B). So, the value of the put at node (B) is:

Put value (B) = [0.4643($0) + ).5357($7)] / 1.0042

Put value (B) = $3.73

Similarly, the value of the put at node (C) is the present value of the expected value of the put at
nodes (E) and (F) since those are the only two possible stock prices after node (C). So, the value of
the put at node (C) is:

Put value (C) = [0.4643($7) + ).5357($26.71)] / 1.0042

Put value (C) = $17.49

Notice, however, that the put option is an American option. Because it is an American option, it can
be exercised any time prior to expiration. If the stock price falls next month, the value of the put
option if exercised is:

Value if exercised = $70 – $52.22

Value if exercised = $17.78

This is greater then the present value of waiting one month, so the option will be exercised early in
one month if the stock price falls. This is the value of the put option at node (C). Using this put
value, we can now find the value of the put today, which is:

Put value (A) = [0.4643($3.73) + 0.5357($17.78)] / 1.0042

Put value (A) = $11.21

24.5 When solving a question dealing with real options, begin by identifying the option–like features of
the situation. First, since the company will only choose to drill and excavate if the price of oil rises,
the right to drill on the land can be viewed as a call option. Second, since the land contains 125,000
barrels of oil and the current price of oil is $55 per barrel, the current price of the underlying asset
(S) to be used in the Black–Scholes model is:

“Stock” price = 125,000($55)

“Stock” price = $6,875,000

Third, since the company will not drill unless the price of oil in one year will compensate its
excavation costs, these costs can be viewed as the real option’s strike price (K). Finally, since the

Answers to End-of-Chapter Problems B-371

 winner of the auction has the right to drill for oil in one year, the real option can be viewed as having
a time to expiration (t) of one year. Using the Black–Scholes model to determine the value of the
option, we find:

d1= [ln(S/K) + (r + σ2/2)(t) ] / (σ 2t)1/2

d1 = [ln($6,875,000/$10,000,000) + (0.065 + 0.502/2) (1)] / (0.50)(√1 ) = –0.3694

d2 = –0.3694 – (0.50)(√1 ) = –0.8694

Find N(d1) and N(d2), the area under the normal curve from negative infinity to d1 and negative
infinity to d2, respectively. Doing so:

N(d1) = N(–0.3694) = 0.3559

N(d2) = N(–0.8694) = 0.1923

Now we can find the value of call option, which will be:

C = SN(d1) – K e—rt N(d2)

C = $6,875,000(0.3559) – ($10,000,000e–.065(1))(0.1923)
C = $644,800.53

This is the maximum bid the company should be willing to make at auction.

24.6 When solving a question dealing with real options, begin by identifying the option–like features of
the situation. First, since Sardano will only choose to manufacture the steel rods if the price of steel
falls, the lease, which gives the firm the ability to manufacture steel, can be viewed as a put option.
Second, since the firm will receive a fixed amount of money if it chooses to manufacture the rods:

Amount received = 4,800 steel rods($360 – $120)

Amount received = $1,152,000

The amount received can be viewed as the put option’s strike price (K). Third, since the project
requires Sardano to purchase 400 tons of steel and the current price of steel is $3,600 per ton, the
current price of the underlying asset (S) to be used in the Black–Scholes formula is:

“Stock” price = 400 tons ($3,600 per ton)

“Stock” price = $1,440,000

Finally, since Sardano must decide whether to purchase the steel or not in six months, the firm’s real
option to manufacture steel rods can be viewed as having a time to expiration (t) of six months. In
order to calculate the value of this real put option, we can use the Black–Scholes model to determine
the value of an otherwise identical call option then infer the value of the put using put–call parity.

Using the Black–Scholes model to determine the value of the option, we find:

d1= [ln(S/K) + (r + σ2/2)(t) ] / (σ 2t)1/2

d1 = [ln($1,440,000/$1,152,000) + (0.045 + 0.452/2) (6/12)] / (0.45 √6/12 ) = 0.9311

d2 = 0.9311 – (0.45 √6/12 ) = 0.6129

Find N(d1) and N(d2), the area under the normal curve from negative infinity to d1 and negative

Answers to End-of-Chapter Problems B-372

 infinity to d2, respectively. Doing so:

N(d1) = N(0.9311) = 0.8241

N(d2) = N(0.6129) = 0.7300

Now we can find the value of call option, which will be:

C = SN(d1) – K e—rt N(d2)

C = $1,440,000(0.8241) – ($1,152,000e–0.045(6/12))(0.7300)
C = $364,419.87

Now we can use put–call parity to find the price of the put option, which is:

C = P + S – K e–rt
$364,419.87 = P + $1,440,000 – $1,152,000e–0.045(6/12)
P = $50,789.29
This is the most the company should be willing to pay for the lease .

24.7 When solving a question dealing with real options, begin by identifying the option–like features of the
situation. First, since Webber will exercise its option to build if the value of an office building rises, the
right to build the office building is similar to a call option. Second, an office building in downtown
Sacramento would be worth $10 million today. This amount can be viewed as the current price of the
underlying asset (S). Third, it will cost Webber $10.5 million to construct such an office building. This
amount can be viewed as the strike price of a call option (K), since it is the amount that the firm must
pay in order to ‘exercise’ its right to erect an office building. Finally, since the firm’s right to build on
the land lasts only 1 year, the time to expiration (t) of the real option is one year. The Webber Company
can use a Two–State model to value its option to build on the land.

Value of an Office Building (in millions) Webber's Real Call Option with a Strike of $10.5 (in millions)

Today 1 Year Today 1 Year

12.5 2 = max(0, 12.5-10.5)

10 ?

8 0 = max(0, 8-10.5)

If demand increases and the value of the building rises, the return on the value of the building over the
period is 25% [= (12.5/10) – 1]. If demand decreases and the value of the building falls, the return on
the value of the building over the period is –20% [= (8/10) –1]. Use the following expression to
determine the risk–neutral probability of a rise in the value of the building:

Risk–Free Rate = (ProbabilityRise)(ReturnRise) + (ProbabilityFall)(ReturnFall)

= (ProbabilityRise)(ReturnRise) + (1 – ProbabilityRise)(ReturnFall)

0.021= (ProbabilityRise)(0.25) + (1 – ProbabilityRise)(–0.20)

ProbabilityRise= 0.49

ProbabilityFall = 1 – 0.49= 0.51

Answers to End-of-Chapter Problems B-373

 The risk–neutral probability of a rise in the value of the building is 49%, and the risk–neutral
probability of a fall in the value of the building is 51%.

Using these risk–neutral probabilities, determine the expected payoff of Webber’s real option at
expiration.

Expected Payoff at Expiration = (.49)($2,000,000) + (.50)($0) = $980,000

Since this payoff will occur 1 year from now, it must be discounted at the risk–free rate of 2.1% in
order to find its present value:

PV(Expected Payoff at Expiration) = ($980,000 / 1.021) = $959,843

A call option with a strike price of $10.5 million and 1 year until expiration is worth $959,843.

Therefore, the right to build on office building in downtown Sacramento over the next year is worth
$959,843today.

Since $750,000 is less than the value of the real option to build, Webber should not accept the offer
from his competitor. Instead, Webber should retain the right to erect an office building on the land.

24.8 Using the binomial mode, we will find the value of u and d, which are:

u = e σ/√ t
u = e.25/ √12/6
u = 1.19

d=1/u
d = 1 / 1.19
d = 0.84

This implies the percentage increase is if the stock price increases will be 19 percent, and the
percentage decrease if the stock price falls will be 16 percent. The six month interest rate is:

Six month interest rate = 0.08/2

Six month interest rate = 0.04

Next, we need to find the risk neutral probability of a price increase or decrease, which will be:

0.04 = 0.19(Probability of rise) + –0.16(1 – Probability of rise)

Probability of rise = 0.5685

And the probability of a price decrease is:

Probability of decrease = 1 – 0.5685 = 0.4315

The following figure shows the stock price and call price for each possible move over the each of the
six month steps:

Value (D) $64,085,356

Call price $17,085,356

Answers to End-of-Chapter Problems B-374

 Value pre–payment $53,701,406
Value post–payment (B) $53,201,406
Call price $9,338,963

Value (E) $44,581,017

Call price $0

Stock price(A) $45,000,000

Call price $5,104,736

Value (F) $44,403,318

Call price $0

Value pre–payment $37,708,510

Value post–payment (C) $37,208,510

Call price $0
Value (G) $31,179,499
Call price $0

First, we need to find the building value at every step along the binomial tree. The building value at
node (A) is the current building value. The building value at node (B) is from an up move, whichmeans:

Building value (B) = $45,000,000(1.1934)

Building value (B) = $53,701,406

At node (B), the accrued rent payment will be made, so the value of the building after the payment will
be reduced by the amount of the payment, which means the building value at node (B) is:

Building value (B) after payment = $53,701,406 – $500,000

Building value (B) after payment = $53,201,406

To find the building value at node (D), we multiply the after–payment building value at node (B) by the
up move, or:

Building value (D) = $53,201,406(1.1934)

Building value (D) = $64,085,356
To find the building value at node (E), we multiply the after–payment building value at node (B) by the
down move, or:

Building value (E) = $53,201,406(0.8380)

Building value (E) = $44,581,017

The building value at node (C) is from a down move, which means the building value will be:

Building value (E) = $45,000,000(0.8380)

Building value (E) = $37,708,510

At node (C), the accrued rent payment will be made, so the value of the building after the payment will
be reduced by the amount of the payment, which means the building value at node (C) is:

Answers to End-of-Chapter Problems B-375

 Building value (C) after payment = $37,708,510 – $500,000
Building value (C) after payment = $37,208,510

To find the building value at node (F), we multiply the after–payment building value at node (C) by the
down move, or:

Building value (F) = $37,208,510(1.1934)

Building value (F) = $44,403,318

Finally, the building value at node (G) is from a down move from node (C), so the building value is:

Building value (G) = $37,208,510(0.8380)

Building value (G) = $31,179,499

Note that because of the accrued rent payment in six months, the binomial tree does not recombine
during the next step. This occurs whenever a fixed payment is made during a binomial tree. For
example, when using a binomial tree for a stock option, a fixed dividend payment will mean that the
tree does not recombine. With the expiration values, we can value the call option at the expiration
nodes, namely (D), (E), (F), and (G). The value of the call option at these nodes is the maximum of the
building value minus the strike price, or zero. We do not need to account for the value of the building
after the accrued rent payments in this case since if the option is exercised, you will receive the rent
payment. So:

Call value (D) = Max($64,085,356 – $47,000,000, $0)

Call value (D) = $17,085,356

Call value (E) = Max($44,581,017 – $47,000,000, $0)

Call value (E) = $0

Call value (F) = Max($44,403,318 – $47,000,000, $0)

Call value (F) = $0

Call value (G) = Max($31,179,499 – $47,000,000, $0)

Call value (G) = $0

The value of the call at node (B) is the present value of the expected value. We find the expected value
by using the value of the call at nodes (D) and (E) since those are the only two possible building values
after node (B). So, the value of the call at node (B) is:

Call value (B) = [0.5685($17,085,356) + 0.4315($0)] / 1.04

Call value (B) = $9,338,963

Note that you would not want to exercise the option early at node (B). The value of the option at node
(B) is exercised if the value of the building including the accrued rent payment minus the strike price,
or:

Option value at node (B) if exercised = $53,701,406 – $45,000,000

Option value at node (B) if exercised = $8,701,406

Since this is less than the value of the option if it left “alive”, the option will not be exercised. With a
call option, unless a large cash payment (dividend) is made, it is generally not valuable to exercise the

Answers to End-of-Chapter Problems B-376

 call option early. The reason is that the potential gain is unlimited. In contrast, the potential gain on a
put option is limited by the strike price, so it may be valuable to exercise an American put option early
if it is deep in the money.

We can value the call at node (C), which will be the present value of the expected value of the call at
nodes (F) and (G) since those are the only two possible building values after node (C). Since neither
node has a value greater than zero, obviously the value of the option at node (C) will also be zero. Now
we need to find the value of the option today, which is:

Call value (A) = [0.5685($9,338,963) + 0.4315($0)] / 1.04

Call value (A) = $5,104,736

Answers to End-of-Chapter Problems B-377

MINI CASE Exotic Cuisine Employee Stock Options

1. We can use the Black–Scholes equation to value the employee stock options. We need to use the
risk–free rate that is the same as the maturity as the options. So, assuming expiration in three years,
the value of the stock options per share of stock is:

d1 = [ln($25.38/$50) + (0.038 + 0.602/2) × 3] / (0.60 × √3 ) = –0.0232

d2 = –0.0618 – (0.60 × √3 ) = –1.0624

N(d1) = 0.4908

N(d2) = 0.1440

Putting these values into the Black–Scholes model, we find the option value is:

C = $25.38(0.4908) – ($50e–0.038(3))( 0.1440) = $6.03

Assuming expiration in ten years, the value of the stock options per share of stock is:

d1 = [ln($25.38/$50) + (0.044 + 0.602/2) × 10] / (0.60 × √10 ) = 0.8232

d2 = 0.8020 – (0.60 × √10 ) = –1.0742

N(d1) =N(0.8232) = 0.7948

N(d2) = N(–1.0742) =0.1414

Putting these values into the Black–Scholes model, we find the option value is:

C = $25.38(0.7948) – ($50e–0.044(10))(0.1414) = $15.62

2. Whether you should exercise the options in three years depends on several factors. A primary factor
is how long you plan to stay with the company. If you are planning to leave next week, you should
exercise the options. A second factor is how the option exercise will affect your taxes.

3. The fact that the employee stock options are not traded decreases the value of the options. A basic
way to understand this is to realize that an option always has value since, ignoring the premium, it
can never lose money. The right to sell an option also has to have value. If the right to sell is
removed, it decreases the price of the option.

4. The rationale for employee stock options is to reduce agency costs by better aligning employee and
shareholder interests. Vesting requires employees to work at a company for a specified time, which
means the employee actions are actually part of the company performance. Vesting is also a “golden
handcuff”. The employee is less likely to leave the company if in–the–money employee stock options
will vest soon.

5. The evaluation of the argument for or against repricing is open–ended. There are valid reasons on
both sides of the discussion.

Answers to End-of-Chapter Problems B-378

 Repricing increases the value of the employee stock option. Consider an extreme: A company
announces the employee stock options will be worth a minimum of $10 at expiration. Since all
values less than $10 are no longer possible, the value of the option increases.

6. Employee stock options increase in value if the stock price increases; however, the stock price can
increase because of a general market increase. Consider a company of average risk in a bull market
that has a large return for several years. The company’s stock should closely mirror the market
return, even though most of the stock price increase is due to the general market increase. Similarly,
if the market falls, the company’s stock will likely fall as well, even if the company is doing well.

A better method of valuing employee stock options might be to reward employees for company
performance in excess of the market performance, adjusted for the company’s level of risk.

Sebagai MBA yang baru dicetak, Anda telah mengambil posisi manajemen di Exoticishes Ltd., sebuah restoran
rantai yang baru saja go public tahun lalu. Perusahaan restoran mengkhususkan diri pada hidangan utama yang
eksotis, menggunakan bahan-bahan seperti kerbau dan burung unta. Sebuah perhatian Anda telah masuk ke
dalam bisnis restoran sangat beresiko. Namun, setelah beberapa uji tuntas, Anda menemukan kesalahpahaman
umum tentang industri restoran. Diperkirakan bahwa 90 persen restoran baru tutup dalam waktu tiga tahun;
namun, bukti terbaru menunjukkan bahwa tingkat kegagalan semakin mendekati 60 persen selama tiga tahun.
Jadi ini bisnis yang berisiko, meskipun tidak berisiko seperti yang Anda duga. Selama proses wawancara Anda,
salah satu manfaatnya disebutkan adalah opsi saham karyawan. Setelah menandatangani kontrak kerja Anda,
Anda menerima opsi dengan strike price $ 50 untuk 10.000 lembar saham perusahaan. Seperti umumnya, opsi
saham Anda memiliki periode vesting tiga tahun dan masa berlaku 10 tahun, yang berarti Anda tidak dapat
menggunakan opsi tersebut selama tiga tahun, dan Anda kehilangan mereka jika Anda pergi sebelumnya
mereka rompi. Setelah periode vesting tiga tahun, Anda bisa gunakan opsi ini kapan saja. Jadi, karyawan
opsi saham adalah Eropa (dan tunduk pada kehilangan) selama tiga tahun pertama dan Amerika sesudahnya.
Dari Tentu saja, Anda tidak bisa menjual opsi, Anda juga tidak bisa masuk ke dalam perjanjian lindung nilai
apa pun. Jika Anda meninggalkan perusahaan setelah opsi rompi, Anda harus berolahraga dalam waktu 90 hari
atau hangus. Saham Exotic Foods saat ini diperdagangkan pada $ 38,15 per saham, sedikit meningkat dari
penawaran awal harga tahun lalu. Tidak ada opsi yang diperdagangkan di pasar pada saham perusahaan. Karena
perusahaan punya hanya diperdagangkan sekitar satu tahun, Anda enggan untuk menggunakan pengembalian
historis untuk memperkirakan standar deviasi pengembalian saham. Namun, Anda punya memperkirakan
bahwa deviasi standar tahunan rata-rata untuk saham perusahaan restoran sekitar 55 persen. Karena Masakan
Eksotis adalah jaringan restoran baru, Anda memutuskan untuk menggunakan deviasi standar 60 persen dalam
perhitungan Anda. Perusahaannya relatif muda, dan Anda berharap bahwa semua penghasilan akan
diinvestasikan Kembali di perusahaan dalam waktu dekat. Oleh karena itu, Anda berharap tidak ada dividen
yang akan dibayarkan setidaknya untuk berikutnya 10 tahun. Catatan Treasury tiga tahun saat ini memiliki a
hasil 3,8 persen, dan catatan Treasury 10-tahun memiliki hasil 4,4 persen.

1. Anda mencoba menghargai pilihan Anda. Apa nilai minimum yang akan Anda tetapkan? Apakah yang nilai
maksimum yang akan Anda tetapkan?

2. Misalkan dalam tiga tahun perusahaan itu saham diperdagangkan pada $ 60. Pada saat itu, harus Anda tetap
memiliki pilihan atau segera menerapkannya? Apa saja penentu penting dalam membuat keputusan seperti itu?

3. Pilihan Anda, seperti kebanyakan saham karyawan opsi, tidak dapat dipindahtangankan atau diperdagangkan.
Apakah ini berpengaruh signifikan terhadap nilai pilihan? Mengapa?

4. Mengapa Anda mengira opsi saham karyawan biasanya memiliki ketentuan vesting? Kenapa harus

Answers to End-of-Chapter Problems B-379

 mereka akan digunakan segera setelah Anda meninggalkan perusahaan bahkan setelah mereka mengenakan
rompi?

5. Praktik kontroversial dengan saham karyawan pilihan adalah repricing. Apa yang terjadi adalah bahwa a
perusahaan mengalami penurunan harga saham, yang membuat opsi saham karyawan jauh uang atau "bawah
air". Dalam kasus seperti ini, banyak perusahaan telah "menetapkan harga kembali" atau "menetapkan kembali"
opsi, artinya perusahaan pergi ketentuan asli dari opsi tetap utuh tetapi menurunkan harga kesepakatan.
Pendukung penetapan harga ulang berpendapat bahwa karena opsi tersebut sangat tidak mungkin untuk
mendapatkan uang karena saham penurunan harga, kekuatan motivasi hilang. Para penentang berpendapat
bahwa harga ulang pada dasarnya hadiah untuk kegagalan. Bagaimana Anda mengevaluasi argumen ini?
Bagaimana kemungkinan repricing mempengaruhi nilai saham karyawan pilihan pada saat itu diberikan?

6. Seperti yang telah kita lihat, banyak volatilitas di a harga saham perusahaan adalah karena sistematis atau
risiko pasar. Risiko seperti itu berada di luar jangkauan kontrol perusahaan dan karyawannya. Apa implikasinya
terhadap saham karyawan pilihan? Berdasarkan jawaban Anda, dapatkah Anda merekomendasikan perbaikan
atas tradisional opsi saham karyawan?

1. Kita dapat menggunakan persamaan Black – Scholes untuk menilai opsi saham karyawan. Kita perlu
menggunakan tingkat bebas risiko yang sama dengan jatuh tempo sebagai opsi. Jadi, dengan asumsi
kedaluwarsa dalam tiga tahun, nilai opsi saham per saham adalah:

d1 = [ln ($ 25,38 / $ 50) + (0,038 + 0,602 / 2) × 3] / (0,60 × √3) = –0,0232

d2 = –0,0618 - (0,60 × √3) = –1,0624

N (d1) = 0,4908

N (d2) = 0,1440

Menempatkan nilai-nilai ini ke dalam model Black – Scholes, kami menemukan nilai opsinya adalah:

C = $ 25,38 (0,4908) - ($ 50e – 0,038 (3)) (0,1440) = $ 6,03

Dengan asumsi kedaluwarsa dalam sepuluh tahun, nilai opsi saham per saham adalah:

d1 = [ln ($ 25,38 / $ 50) + (0,044 + 0,602 / 2) × 10] / (0,60 × √10) = 0,8232

d2 = 0,8020 - (0,60 × √10) = –1,0742

N (d1) = N (0.8232) = 0.7948

N (d2) = N (–1,0742) = 0,1414

Menempatkan nilai-nilai ini ke dalam model Black – Scholes, kami menemukan nilai opsinya adalah:

C = $ 25,38 (0,7948) - ($ 50e – 0,044 (10)) (0,1414) = $ 15,62

2. Apakah Anda harus menggunakan opsi dalam tiga tahun tergantung pada beberapa faktor. Faktor utama adalah
berapa lama Anda berencana untuk tetap bersama perusahaan. Jika Anda berencana untuk pergi minggu depan,

Answers to End-of-Chapter Problems B-380

 Anda harus melakukannya gunakan pilihannya. Faktor kedua adalah bagaimana penerapan opsi akan
memengaruhi pajak Anda.

3. Fakta bahwa opsi saham karyawan tidak diperdagangkan menurunkan nilai opsi. Dasar Cara untuk memahami
hal ini adalah dengan menyadari bahwa suatu opsi selalu memiliki nilai sejak, mengabaikan premium, itu tidak
pernah bisa kehilangan uang. Hak untuk menjual opsi juga harus memiliki nilai. Jika hak untuk menjual
dihapus, itu menurunkan harga opsi.

4. Alasan opsi saham karyawan adalah untuk mengurangi biaya agensi dengan lebih menyelaraskan karyawan dan
kepentingan pemegang saham. Vesting menuntut karyawan untuk bekerja di suatu perusahaan untuk waktu
tertentu, yaitu Artinya tindakan karyawan sebenarnya adalah bagian dari kinerja perusahaan. Vesting juga
merupakan "emas memborgol". Karyawan cenderung tidak meninggalkan perusahaan jika opsi saham karyawan
in-the-money akan segera rompi.

5. Evaluasi dari argumen untuk atau menentang repricing bersifat terbuka. Ada alasan yang valid tentang kedua
sisi diskusi. Repricing meningkatkan nilai opsi saham karyawan. Pertimbangkan yang ekstrim: Sebuah
perusahaan mengumumkan opsi saham karyawan akan bernilai minimal $ 10 saat kedaluwarsa. Karena
semuanya nilai kurang dari $ 10 tidak lagi memungkinkan, nilai opsi meningkat.

6. Opsi saham karyawan meningkat nilainya jika harga saham naik; Namun, harga saham bisa meningkat karena
peningkatan pasar secara umum. Pertimbangkan perusahaan dengan risiko rata-rata di pasar bullish yang
memiliki keuntungan besar selama beberapa tahun. Saham perusahaan harus mencerminkan pasar kembali,
meskipun sebagian besar kenaikan harga saham disebabkan oleh kenaikan pasar secara umum. Demikian pula,
jika pasar jatuh, saham perusahaan kemungkinan besar juga akan jatuh, bahkan jika perusahaan itu baik-baik
saja. Metode yang lebih baik untuk menilai opsi saham karyawan mungkin dengan memberi penghargaan
kepada karyawan untuk perusahaan kinerja yang melebihi kinerja pasar, disesuaikan dengan tingkat risiko
perusahaan.

Answers to End-of-Chapter Problems B-381