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ESOP Black-Scholes Valuation

Estimate the fair value of your ESOPs with the Black-Scholes model.

Calculate the indicative fair value of an employee stock option using equity share value, exercise price, expected life, expected volatility, risk-free interest rate and expected dividend yield.

Equity Fair Value Use the share value on the expected grant date
Exercise Price Enter the price payable by the employee
Expected Life & Volatility Apply ESOP-specific market assumptions
Option Fair Value View value, workings and option Greeks

Input Sheet

Fields marked with * are mandatory. The calculation will run only after you click Calculate.

Share and Grant Details

Equity share value as on the expected grant date.
Amount payable by the employee on exercise.
Used only to calculate aggregate fair value.

Expected Life

Automatically linked with expected life in years.
Automatically linked with expected life in days.
Expected grant date from which the option life is measured.
Expected date on which employees may exercise.

Market Assumptions

Annualised expected volatility of the equity share.
Risk-free yield corresponding to the expected life.
Expected annual dividend yield over the expected life.

ESOP Model Guidance

The model calculates only the call option value because an ESOP grants the employee a right to purchase equity shares at the exercise price. It does not grant a right to sell shares, so a put option value is not relevant.
The Black-Scholes model assumes a single expected life and constant volatility, interest rate and dividend yield. Plan-specific terms and valuation judgements should be independently reviewed and documented.

ESOP Valuation Results

Black-Scholes Call Option Value Per ESOP Nil Indicative fair value of one employee stock option based on the assumptions entered above.
Total Fair Value of ESOPs Nil
Intrinsic Value Per ESOP Nil
Time Value Per ESOP Nil

Calculation Summary Black-Scholes-Merton call option model

ParameterCalculated / Entered ValueESOP Valuation Meaning
Fair Value of Equity Share (S)NilEquity share value as on the expected grant date.
Exercise Price (K)NilPrice payable by the employee to acquire one share.
Expected Life (T)NilExpected period from the expected grant date until exercise.
Expected Volatility (σ)NilAnnualised expected variability in equity value.
Risk-Free Interest Rate (r)NilAnnualised risk-free yield corresponding to expected life.
Expected Dividend Yield (q)NilExpected annual dividend yield over expected life.
d1NilStandardised Black-Scholes input combining moneyness, time and market assumptions.
d2Nild1 adjusted for volatility over the expected life.
N(d1)NilCumulative normal distribution value used in the call option formula.
N(d2)NilCumulative normal distribution value applied to the discounted exercise price.

Call Option Greeks Sensitivity indicators

DeltaNil
GammaNil
Vega for 1% ChangeNil
Theta Per DayNil
Rho for 1% ChangeNil

Black-Scholes Formula

d1 = [ln(S/K) + (r - q + σ²/2)T] / [σ√T]
d2 = d1 - σ√T
ESOP Call Value = S × e-qT × N(d1) - K × e-rT × N(d2)
Important: This calculator provides an indicative mathematical output. A formal ESOP Valuation may require review of the ESOP scheme, grant terms, vesting conditions, contractual term, expected employee exercise behaviour, comparable-company volatility, dividend expectations and other financial reporting requirements.
This calculator is intended for educational and preliminary planning purposes. It does not replace an independent ESOP Valuation report, accounting assessment, tax advice, legal advice or regulatory opinion.
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