> So is refusing a stock option an option? When from the company
> perspective, I don't risk anything, "just the taxes"?
> 
> Or should I just swallow it and pay the taxes and live with the risk
> that I might have only loose money on this? That certainly won't
> trigger any suspicion, but I'm not sure if it's very honest to myself.

I wouldn't start with either. Instead, you can your boss the truth that while you appreciate the offer and have no doubt that in 4 years' time this will be of great profit for you, at this time you are uncomfortable having to pay the extra tax bill. 

At this point, the boss can either offer to give you the tax amount together with the options or agree to delay it into more certain times. Trying to pry into your personal financial decisions, like by saying "oh but with what we pay you, you can afford the tax easily" would be a substantial warning for me, as to how you spend your salary is not his business.

Be polite and there shouldn't be any issues. Many employers try to give stock options to employees as a way to tie them into the company, and often enough use it as a way to not pay them market value, as the options are supposed to compensate it, and when it's free that's great. But when you have to pay money for the privilege then it's perfectly fine to just say no.