ESO-value
Receiving stock options from your company? Wondering what they are worth? ESO-value calculates the value of Employee Stock Options based on the Hull-White model[1][2]. This library is used in the ESO valuation app.
Installation
Run pip install esovalue
Usage
from esovalue.eso import value_eso
value_eso(strike_price=50, stock_price=50, volatility=0.3, risk_free_rate=0.075,
dividend_rate=0.025, exit_rate=0.03, vesting_years=3, expiration_years=10,
iterations=1000, m=3)Description of the parameters:
strike_price - Strike price
stock_price - Current price of the underlying stock
iterations - More iterations is more precise but requires more memory/CPU
risk_free_rate - Risk-free interest rate
dividend_rate - Dividend rate
exit_rate - Employee exit rate (over a year)
vesting_years - Vesting period (in years)
expiration_years - Years until expiration
volatility - Volatility (standard deviation on returns)
m - Strike price multiplier for early exercise
(exercise when the strike_price*m >= stock_price)
References
[1]: Hull, J, and White, A: How to Value Employee Stock Options Financial Analysts Journal, Vol. 60, No. 1,
January/February 2004, 114-119.
[2]: Hull, J. (2018). Options, Futures, and Other Derivatives (Global Edition).
