Should I exercise stock options I own in a privately held company?
Deciding whether to exercise stock options in a privately held company involves determining the actual worth, or possible future worth, of the shares. Shares are worth what someone will pay for them, no more, no less. With publicly held companies, the shares are "worth" what the market effectively determines people will pay for them at any point in time.
If these were IBM Options at $50 and the stock was at $95 you could exercise the options and -- subject to any waiting time required in the option agreement (and possible other restrictions if you were a corporate officer) -- turn around and sell them and pocket the $45. The problem is there is no established market price for a privately held company's shares. While the option price may be $15 and they may be issuing shares at $30 to new investors, it is still difficult to determine the true worth of the shares. Perhaps the investors were duped. Or perhaps they are smart and getting a bargain.
If you do decide to buy them you'll likely have to hold the shares, possibly for an extended length of time. It is not improbable that you would be severely restricted in your ability to sell the shares for months even after the company went public, and there is no guarantee the company would ever go public. The company likely has no obligation whatsoever to buy them back at any price, although sometimes you may have an obligation to offer them back to the company -- it depends on exactly what the stock option plan and agreement says. It is difficult to say whether there is enough money involved for you to attempt to sell them to the same investor willing to pay $30.
Sometime in the future, two weeks or two years or two decades from today, the company could be bought or go public and the shares you hypothetically purchased at $15 each may be worth $60 or $600 or $6000 each; or, on the other hand, the company may file for bankruptcy and they'd be worth zero. Yet another possibility is that the company may languish for years, and in the meantime you may have bills to pay and stock that sits there.
It's your money and your risk, however, don't buy with the hope you'd sell them out quickly at a profit.