具有随机执行日的经理组合型股票期权的定价

Executive basket stock option pricing with stochastic exercise date

本文设计的具有随机执行日的经理组合型股票期权 ,改造了经理股票期权的收益结构 ,消除了经理在确定执行日下只能获得较低收入的部分风险 ,在一定程度上能够防止经理的短期行为 .同时 ,在等价鞅测度下 ,改进了具有确定执行日的经理组合型股票期权的定价模型 ,构建了具有随机执行日的经理组合型股票期权的定价模型 ,给出了其价格的解析解 ,并进行了数值计算和分析 .结论表明 ,在利用股票期权对经理进行激励时 ,除了要重视股票期权的收益大小外 ,还要关注收益的时机 ,恰当的时间安排也可以提高激励的效果 .

An executive basket stock option with stochastic exercise dates is designed. It rearranges the profit structure of the executive stock option, eliminates some low-income risk under the deterministic exercise dates. To some extent, such an option can prevent the executive's short-term behavior. Under the equivalent martingale, the paper also improves the stock option pricing model with deterministic exercise dates, builds up a stock option pricing model with stochastic exercise dates and gives the close form solution. Numerical calculation and analysis are conducted. The conclusion shows that to encourage the executive, besides the profit amount the profit time should also be emphasized. The proper time arrangement can improve the encouraging effect.