Derivative 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.

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Our quantitative finance professionals specialize in developing customized models and deriving supportable inputs for these valuations.

Our services include:

Kroll 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.

Connect with us
Louisa Galbo
Louisa Galbo
Managing Director
Valuation Advisory Services
San Francisco
Phone

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