基于股价跳跃限制的高管股票期权激励定价研究

Pricing for Executive Stock Option Incentive Based on Stock Price Jump Limited Model

如何合理地评估高管股票期权的价值仍然是业界和学界的难题之一。在传统的基于BS期权定价模型的基础上,考虑我国股票市场的涨跌停限制的制度设计,运用三点概率分布将这一制度特征刻画在股价跳跃过程之中,提出了引入跳跃限制的股权价值定价模型。以实施股权激励计划公司为训练样本并对未来期权价值进行模拟,模拟结果表明,中国证券市场的涨跌停制度对于高管股票期权价值是有影响的,增加股价跳跃限制的定价模型降低了传统BS模型对股权价值的高估程度,这将有利于进一步优化高管股票期权激励的定价模型。

There still remains one of the difficult problems of how to make a reasonable estimation of the value of stock option incentive for top executives in listed companies in current industry and academia. Based on the stock option pricing model of traditional Black-Scholes, this paper takes the price limit mechanism in Chinese stock market into consideration through introducing three points probability distribution to stock price jumping process, and presents a new option pricing model limited by diffusion-jumping. This paper selects the listed companies that implement stock option incentive as the training sample and simulates further value of option. Results of the simulation indicate that the mechanism of price limit in Chinese stock market will affect stock op- tion value for top executives, and the pricing model which increases the limit of stock price jumping reduces the overestimation of traditional Black-Scholes model of stock value, which will be conducive to optimizing the pri- cing model for top executives stock option incentive.