股票期权定价研究——以某科技集团公司为例

Research on Stock Option Pricing——Taking a Technology Group Company as an Example

以某科技集团公司2013年9月18日到2015年5月27日的收盘价作研究对象,首先对股票的收盘价进行对数化预处理,将其转化为收益率,建立Garch模型预测了股票期权的波动率,得出该科技集团公司股票的年化波动率为34.64%;其次,通过Black-Scholes模型,计算出该科技集团公司股票第二期期权激励的三个行权期的期权价格。研究发现,实施股权激励对某科技集团的财务绩效有积极的影响,员工离职率呈下降趋势,增强了员工对企业的归属感。

We take the closing price of a technology group company from September 18,2013 to May 27,2015 as the research object.Firstly,we conduct logarithmic preprocessing on the closing price of the stock to convert it into a rate of return,and establish a Garch model to predict based on the volatility of stock options,and the annualized volatility of the technology group company’s stock is 34.64%.Secondly,through the Black-Scholes model,we calculate that the option prices of the three exercise periods for the second-period option incentives of the technology group company’s stocks.The research results show that it is effective to mobilize the enthusiasm of employees.We find that the implementation of equity incentives has a positive impact on the financial performance of this technology group,and the employee turnover rate shows a downward trend,which enhances employees’sense of belonging to the company.