| 随机执行日经理股票期权的定价及激励效用分析 |
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| 引用本文： | 张鸿雁,韩素红,李茂盛. 随机执行日经理股票期权的定价及激励效用分析[J]. 经济数学, 2007, 24(3): 269-275 |
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| 作者姓名： | 张鸿雁 韩素红 李茂盛 |
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| 作者单位： | 中南大学数学科学与计算技术学院,湖南长沙,410075;中南大学数学科学与计算技术学院,湖南长沙,410075;中南大学数学科学与计算技术学院,湖南长沙,410075 |
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| 摘 要： | 针对标准支付型经理股票期权执行日确定的问题,提出具有随机执行日的支付型经理股票期权的定价公式;选择期权价值对股票价格的敏感性(delta)、期权价值对股票收益波动率的敏感性(vega)对经理股票期权进行激励效用分析;并通过改变部分参数的值,分析期权对经理激励作用的变化.
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| 关 键 词： | 随机执行日 支付型经理股票期权 蒙特卡罗模拟方法 障碍价格 |
| 修稿时间： | 2007-04-27 |
THE VALUE AND INCENTIVE EFFECTS OF EXECUTIVE STOCK OPTION WITH STOCHASTIC EXERCISE DATE |
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| Zhang Hongyan,Han Suhong,Li Maosheng. THE VALUE AND INCENTIVE EFFECTS OF EXECUTIVE STOCK OPTION WITH STOCHASTIC EXERCISE DATE[J]. Mathematics in Economics, 2007, 24(3): 269-275 |
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| Authors: | Zhang Hongyan Han Suhong Li Maosheng |
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| Abstract: | To solve the problem that the standard purchased executive stock options have a fixed exercise date,the pricing formula of purchased option with stochastic exercise date was derived.In order to analysis the incentive effects of the executive option,the sensitivity of the option value to stock price(delta)and the sensitivity of the option value to stock return volatility(vega)were selected.By changing the value of some parameters,the chang of incentive effect was analyzed. |
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| Keywords: | Stochastic exercise date purchased executive stock option Monte-Carlo simulate method barrier price. |
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