Valuation • ESOP • AIF • FEMA • Advisory
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
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
| Parameter | Calculated / Entered Value | ESOP Valuation Meaning |
|---|---|---|
| Fair Value of Equity Share (S) | Nil | Equity share value as on the expected grant date. |
| Exercise Price (K) | Nil | Price payable by the employee to acquire one share. |
| Expected Life (T) | Nil | Expected period from the expected grant date until exercise. |
| Expected Volatility (σ) | Nil | Annualised expected variability in equity value. |
| Risk-Free Interest Rate (r) | Nil | Annualised risk-free yield corresponding to expected life. |
| Expected Dividend Yield (q) | Nil | Expected annual dividend yield over expected life. |
| d1 | Nil | Standardised Black-Scholes input combining moneyness, time and market assumptions. |
| d2 | Nil | d1 adjusted for volatility over the expected life. |
| N(d1) | Nil | Cumulative normal distribution value used in the call option formula. |
| N(d2) | Nil | Cumulative 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)
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.
