摘要
论文提出了满意绩效期权的概念,采用无套利假设下的风险中性定价方法,给出了满意绩效期权的详细定价推导,分析了如何将满意绩效期权应用于投资基金和一般资产组合管理的报酬设计中,同时探讨了满意绩效期权在一般公司治理中的可应用性。
The paper presents a new option called Satisfied-performance option, and gives risk neutral pricing formula of satisfied-performance option under no arbitrage condition. Besides being used in mutual fund investment and rewards design of general portfolio, satisfiedperformance option can be also used in corporation governance.
出处
《管理工程学报》
CSSCI
2005年第4期135-137,共3页
Journal of Industrial Engineering and Engineering Management
基金
国家自然科学基金资助项目(70073053)
上海市哲学社会科学规划课题资助项目(2004BJ13014)
关键词
绩效报酬
交换期权
满意绩效期权
performance-based fee
exchange option
satisfied-performance option
