一种新型的经理人股票期权激励模型

A New Executive Stock Option Pricing Model

剖析标准期权模型在经理人股票期权激励实务应用中存在的两大问题,论述了亚式期权模型和指数期权模型在解决上述问题中表现出的各自特点和不足,提出和构造一种同时结合亚式期权和指数期权双重特性的新型期权模型(A-I模型).综合运用无套利原理、风险中性原理I、TO定理和一二阶矩近似法,给出A-I模型价值的近似解析解.数值结果表明,A-I模型显示出更好的激励效应.

Two problems of application of Standard Options pricing models in the practice of executive incentive plans were argued. The paper analyzes how asian options and indexed options pricing models deal with above two problems and proposes to design a new incentive option model, called A-I model, which combines both of the asian options and indexed options＇characters. And based on the noarbitrage method, risk-neutral measure, ITO theorem and first order and second order moment method, its pricing model was derived. Numerical results show that this model has better incentive effects than others.