This repository contains my actuarial thesis on the fair valuation of employee stock options in unlisted companies, in compliance with the IFRS 2 standard. The thesis explores the impact of illiquidity on valuation and introduces an alternative approach based on utility indifference pricing.
📄 Thesis (📌 in French) : Download PDF
📝 Keywords: Employee stock ownership, unlisted companies, illiquidity, IFRS 2, utility indifference pricing, Lambert-Monte-Carlo.
Employee stock options in unlisted companies pose a significant valuation challenge due to the lack of liquidity. Standard models such as Black-Scholes fail to account for this illiquidity, leading to theoretical inconsistencies.
This thesis introduces a utility-based pricing framework to estimate an indifference price, leveraging nested Monte Carlo simulations. Numerical experiments compare this approach with classical valuation methods.