A Matrix-Based Lattice Model to Value Employee Stock Options

Mukesh Bajaj; Sumon C. Mazumdar; Rahul Surana; Sanjay Unni

doi:10.3905/jod.2006.650161

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A Matrix-Based Lattice Model to Value Employee Stock Options

Mukesh Bajaj, Sumon C. Mazumdar, Rahul Surana and Sanjay Unni

The Journal of Derivatives Fall 2006, 14 (1) 9-26; DOI: https://doi.org/10.3905/jod.2006.650161

Mukesh Bajaj

A managing director with LECG in Emeryville, CA, and a lecturer in the Finance Department, Haas School of Business, University of California at Berkeley.

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For correspondence: mbajaj@lecg.com

Sumon C. Mazumdar

A principal with LECG in Emeryville, CA, and a lecturer in the Finance Department, Haas School of Business, University of California at Berkeley.

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For correspondence: sumon_mazumdar@lecg.com

Rahul Surana

A senior managing consultant with LECG in Emeryville, CA.

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For correspondence: rsurana@lecg.com

Sanjay Unni

A principal with LECG in Emeryville, CA, and a lecturer in the Finance Department, Haas School of Business, University of California at Berkeley.

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For correspondence: sanjay_unni@lecg.com

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The Journal of Derivatives

Vol. 14, Issue 1

Fall 2006

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A Matrix-Based Lattice Model to Value Employee Stock Options