ValuationFY 2026-27 · 10-yr G-Sec ~7%
ESOP Valuation Calculator (Black-Scholes)
Compute the per-option fair value for accounting (Ind AS 102 / IFRS 2) and 409A-equivalent purposes using the Black-Scholes-Merton model.
Option parameters
Per-option fair value
₹44.00
Status: at the money
Intrinsic value
₹0.00
Time value
₹44.00
Volatility × time
d1
0.7611
d2
-0.1389
Drill-down
Black-Scholes computation
d1 = [ln(S/K) + (r − q + σ²/2) × T] / (σ × √T) d1 = [ln(100/100) + (0.07 − 0 + 0.10125) × 4] / (0.45 × √4) d1 = 0.7611 d2 = d1 − σ × √T = -0.1389 C = S × e^(−qT) × N(d1) − K × e^(−rT) × N(d2) C = ₹44.0000 per option
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The Black-Scholes formula values a European call: C = S·N(d1) − K·e^(−rT)·N(d2), where d1 = [ln(S/K) + (r − q + σ²/2)·T] / (σ√T) and d2 = d1 − σ√T. For ESOP accounting, this output × number of options vested = grant-date fair value charged over vesting period.
FAQs
Frequently asked questions
Why Black-Scholes for ESOPs?+
Ind AS 102 / IFRS 2 mandates fair-value accounting of share-based payments. Black-Scholes is the most common model accepted by auditors for plain-vanilla ESOPs. For ESOPs with performance/market conditions, use binomial / Monte Carlo.
What volatility should I use?+
Listed companies use historical share-price volatility (1-5 year window). Unlisted startups use industry-comparable peer volatility — typically 35-55% for tech and 25-40% for established sectors. Higher volatility → higher option value.
Does this match what valuers report?+
It's the same model. Registered Valuers (IBBI) and merchant bankers may apply illiquidity discounts (15-30%) for unlisted shares and adjust for early exercise probability via expected life (Hull-White or behavioural data).
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