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OPTIONS Lattice Exercise Behavior

This calculator uses the Trinomial Lattice option pricing model to calculate the fair value of employee stock options factoring in exercise behavior. To use the calculator please complete the input fields in the calculator below.

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Inputs

Model (Iterations)

Type of Option

Underlying Price

Exercise Price

Value Date

Early-Exercise Date

Expiration Date

Volatility

Interest Rate

Yield Rate

Lattice Type

SOEF

Exit Rate Pre-Vesting

Exit Rate Post-Vesting

Results

Function

Call

Theoretical Value

Expected Term

Implied Expected Life

Next Optimum Nodes

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Resources

Lattice Option-Pricing Model
Suboptimal Exercise Behavior