[1]李超杰,何建敏.具有随机执行日的经理组合型股票期权的定价[J].东南大学学报(自然科学版),2004,34(5):678-681.[doi:10.3969/j.issn.1001-0505.2004.05.026]
　Li Chaojie,He Jianmin.Executive basket stock option pricing with stochastic exercise date[J].Journal of Southeast University (Natural Science Edition),2004,34(5):678-681.[doi:10.3969/j.issn.1001-0505.2004.05.026]
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具有随机执行日的经理组合型股票期权的定价()
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《东南大学学报(自然科学版)》[ISSN:1001-0505/CN:32-1178/N]

卷:
34
期数:
2004年第5期
页码:
678-681
栏目:
经济与管理
出版日期:
2004-09-20

文章信息/Info

Title:
Executive basket stock option pricing with stochastic exercise date
作者:
李超杰;  何建敏
东南大学经济管理学院, 南京 210096
Author(s):
Li Chaojie;  He Jianmin
College of Economics and Management, Southeast University, Nanjing 210096, China
关键词:
随机执行日;  组合型股票期权;  定价
Keywords:
stochastic exercise date;  basket stock option;  pricing
分类号:
F830.91
DOI:
10.3969/j.issn.1001-0505.2004.05.026
摘要:
本文设计的具有随机执行日的经理组合型股票期权,改造了经理股票期权的收益结构,消除了经理在确定执行日下只能获得较低收入的部分风险,在一定程度上能够防止经理的短期行为.同时,在等价鞅测度下,改进了具有确定执行日的经理组合型股票期权的定价模型,构建了具有随机执行日的经理组合型股票期权的定价模型,给出了其价格的解析解,并进行了数值计算和分析.结论表明,在利用股票期权对经理进行激励时,除了要重视股票期权的收益大小外,还要关注收益的时机,恰当的时间安排也可以提高激励的效果.
Abstract:
An executive basket stock option with stochastic exercise dates is designed. It rearranges the profit structure of the executive stock option, eliminates some low-income risk under the deterministic exercise dates. To some extent, such an option can prevent the executive’s short-term behavior. Under the equivalent martingale, the paper also improves the stock option pricing model with deterministic exercise dates, builds up a stock option pricing model with stochastic exercise dates and gives the close form solution. Numerical calculation and analysis are conducted. The conclusion shows that to encourage the executive, besides the profit amount the profit time should also be emphasized. The proper time arrangement can improve the encouraging effect.

参考文献/References:

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备注/Memo

备注/Memo:
作者简介: 李超杰(1975—),男,博士生,lcjlm.student @sina.com; 何建敏(联系人),男,教授,博士生导师,nj.jian@public1.ptt.js.cn.
更新日期/Last Update: 2004-09-20