Derivatives Valuation and Share-Based Compensation
Many securities issued in connection with share-based compensation or M&A transactions involve derivatives that require a valuation for financial reporting or tax purposes. Our quantitative finance professionals specialize in developing customized models and deriving supportable inputs for these valuations.
Our services include:
Duff & Phelps has deep experience with the full range of equity valuation techniques, including:
- Monte Carlo simulation analysis which captures path dependency and correlation
- Binomial lattice models, customized to capture key features such as early exercise behavior
- Closed form solutions such as the Black-Scholes formula
- Least Squares Monte Carlo simulation which captures both path dependency and early exercise behavior
- Default and recovery rate modeling
Our professionals are skilled in determining which approach is most appropriate, and tailoring the analysis to the specific situation at hand.