Companies are required to disclose in the financial statements the fair value of their employee stock options (ESO) as of the grant date, granted to employees, management, directors or suppliers according to the principals of the relevant GAAP (IFRS, ISRAELI or US GAAP). In addition, companies are required to recognize compensation cost in financial statements issued subsequent to the date of adoption, for all awards granted, modified, or settled after the date of adoption, as well as for any unvested awards.
We provide publicly traded companies, as well as private companies, with an analysis of various ESO plans and ESO plans simulations to presents the present and future effects which refer to the different impacts of the plans on the financial statement. For our analysis we use models for valuation of employee stock options (Binomial lattice based model, using Monte-Carlo simulation and the Black-Scholes method), all in conformity with regulations, for purposes of financial statement, under the relevant GAAP (IFRS2, FAS 123R, Statement 24).
Our models include integration of the following features, into the valuation of the option: underlying share price, exercise price, volatility, dividend adjustments, interest rate, vesting period, employee exercise behavior, post vesting forfeiture rate, special terms and conditions (market & performance).  In addition we consider special factors which are relevant to any type of option such as European, American, Bermudan and Asiatic options, various barriers such as knock-in and knock-out, value caps and other sophisticated mechanisms.

We are well experienced in the valuation of complex equity instruments using several option pricing techniques; including the Black- Scholes method and the binomial lattice based model.

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