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满意绩效期权的设计、定价与应用

Pricing and application analysis of satisfied-performance option
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摘要 满意绩效期权是指当标的资产的价格超过某一固定价格及另一资产价格时,权利持有人有权按其中的较高价格买入标的资产.论文给出了满意绩效期权的解析解、数值解及其对管理人行为的影响,并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. The paper presents Satisfied-performance option, which means that when underlying assets price is above an fixed price and another asset＇ s price, the option holder has the right to by that asset at the higher price. The paper gives risk neutral pricing formula of satisfied-performance option under no arbitrage condition. Satisfied-performance option can be used not only in mutual fund investment and rewards design of general portfolio, but also in corporate governance.
作者 蔡明超 费一文 费方域
机构地区 上海交通大学安泰经济与管理学院
出处 《管理科学学报》 CSSCI 北大核心 2007年第4期56-61,共6页 Journal of Management Sciences in China
基金 国家社会科学基金资助项目(05BJL018) 教育部人文社会科学科研基金资助项目(05JC90105)
关键词 交换期权 满意绩效期权 相容约束 performance-based fee exchange option satisfied-performance option
分类号 F830.9 [经济管理—金融学]
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参考文献12

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二级参考文献9

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  • 9席酉民,张建琦.不对等契约关系与国有企业改革[J].管理科学学报,1998,1(1):43-49. 被引量：18

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管理科学学报
2007年 第4期

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