随机执行日经理股票期权的定价及激励效用分析

THE VALUE AND INCENTIVE EFFECTS OF EXECUTIVE STOCK OPTION WITH STOCHASTIC EXERCISE DATE

针对标准支付型经理股票期权执行日确定的问题,提出具有随机执行日的支付型经理股票期权的定价公式;选择期权价值对股票价格的敏感性(delta)、期权价值对股票收益波动率的敏感性(vega)对经理股票期权进行激励效用分析;并通过改变部分参数的值,分析期权对经理激励作用的变化.

To solve the problem that the standard purchased executive stock options have a fixed exercise date, the pricing formula of purchased option with stochastic exercise date was derived. In order to analysis the incentive effects of the executive option, the sensitivity of the option value to stock price（delta） and the sensitivity of the option value to stock return volatility（vega）were selected. By changing the value of some parameters, the chang of incentive effect was analyzed. Keywords：