PENENTUAN HARGA OPSI SAHAM KARYAWAN DENGAN EFEK DILUSI MENGGUNAKAN MODEL BINOMIAL HULL-WHITE

Abstract

This study aims to evaluate and analyze the determination of Employee Stock Option values by taking into account the impact of dilution using the Hull-White Binomial Model. The focus of the study includes four stocks from a total of fifteen stocks of companies that have implemented an Employee Stock Option (ESO) scheme, have normally distributed return data, and are listed on the Indonesia Stock Exchange (IDX). The Hull-White Binomial Model is applied to calculate the price of Employee Stock Options through simulation using a binomial tree approach, which also considers certain characteristics such as the exit rate and grace period. Several other features such as dividend yield and the dilution effect are also taken into account as impacts on the company resulting from the issuance or expenditure of new shares in this study. The results of the study indicate that the dilution effect has a significant influence on the price of Employee Stock Options with the percentages obtained being for BBCA (14.003973%), BBNI (40.74311%), UNTR (23.225471%), and ASII (28.292408%), which causes a decrease in the proportion of holders when the company issues new shares. The calculation shows that the highest value of employee stock options after considering the dilution effect is in UNTR company shares at IDR 89,109.98, while the lowest value is seen in BBCA company shares at IDR 30,129.39