利用Black-Scholes定价模型分析股票期权制利弊

Study on Executive Stock Options through Black-Scholes Model

论述了采用Black-Scholes期权定价模型可以精确地对经理人股票期权进行估价,认为其价格与公司股价及股票收益的方差等因素相关。指出公司股票是基于公司价值的看涨期权,因此可用Black-Scholes模型和欧式看涨期权二叉树定价公式对公司股价进行计算,其结果取决于公司债券到期时还本付息的金额以及债券的存续时间。由分析可知,股票期权制既可以起到有效的激励与约束作用,同时也会为股东带来经理人通过操纵公司债券发行而使其自身获益的风险。

The price of the executive stock option can be calculated using Black - Scholes model. The price depends on stock price and its fluctuation. The stock of a corporation is a call option based on the value of the corporation. So the stock price can be calculated by using Black - Scholes model and European call option binominal tree pricing model, the price of which depends on the price and maturity period of the corporation＇s bonds. The Executive stock option could be an effective incentive, and it might raise the risk of bond manipulation.