Derivatives Valuation and Shares-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 specialise in developing customised models and deriving supportable inputs for these valuations.

Our services include:

  • Derivatives Valuation

  • Valuations for Equity Awards and Share-Based Compensation

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, customised to capture key features such as early exercise behaviour

  • Closed form solutions such as the Black-Scholes formula

  • Least Squares Monte Carlo simulation which captures both path dependency and early exercise behaviour

  • 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.

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