【摘要】：經(jīng)理期權(quán)(簡(jiǎn)稱(chēng)ESOs)是公司作為酬金發(fā)給經(jīng)理或員工的以本公司股票為標(biāo)的資產(chǎn)的一種看漲期權(quán)。由于經(jīng)理股票期權(quán)具有使用靈活、成本低、不耗費(fèi)公司現(xiàn)金流等優(yōu)點(diǎn),ESOs己成為公司激勵(lì)員工勤勉敬業(yè)的重要手段。但由于ESOs發(fā)行量較多,其相應(yīng)的發(fā)行成本也很可觀,因此有必要對(duì)ESOs進(jìn)行合理定價(jià)。由于ESOs的價(jià)值由經(jīng)理人實(shí)施策略決定,因而需要理性預(yù)測(cè)經(jīng)理人未來(lái)的實(shí)施策略。在金融市場(chǎng)上經(jīng)理人不能賣(mài)空ESOs,所以不能用無(wú)套利定價(jià)方法對(duì)ESOs進(jìn)行定價(jià)。 本文基于效用函數(shù)最大化框架,研究永久ESOs的價(jià)值和經(jīng)理人的實(shí)施策略。假設(shè)經(jīng)理人的效用函數(shù)為冪效用函數(shù)χγ(0γ≤1),公司股票服從跳擴(kuò)散過(guò)程,其跳幅度服從指數(shù)分布,我們對(duì)一份永久美式ESO的價(jià)值建立了一個(gè)效用最大化最優(yōu)停時(shí)模型,其值函數(shù)是一個(gè)變分不等式定解問(wèn)題的解。通過(guò)精細(xì)的計(jì)算和適當(dāng)?shù)募记?我們得到了該變分不等式的顯式解。此外,我們還證明了最優(yōu)實(shí)施邊界關(guān)于相關(guān)參數(shù)的單調(diào)性及漸近性質(zhì)。
[Abstract]:Executive option (ESOs) is a kind of call option that the company gives to the manager or employee as a reward. Because ESOs have the advantages of flexible use, low cost and not consuming cash flow, ESOs have become an important means to encourage employees to work diligently. However, due to the large circulation of ESOs, the corresponding issue cost is considerable, so it is necessary to price ESOs reasonably. Since the value of ESOs is determined by the executive strategy, it is necessary to rationally predict the manager's future implementation strategy. In financial markets, managers can't short ESOs, so they can't price ESOs without arbitrage. Based on the utility function maximization framework, this paper studies the value of permanent ESOs and the implementation strategy of managers. Assuming that the utility function of the manager is the power utility function 蠂 緯 (0 緯 鈮，

本文編號(hào)：2213099