【作者】 石泽龙；

【导师】 傅强；

【作者基本信息】 重庆大学 ， 应用数学， 2010， 硕士

【摘要】 经理激励薪酬制度是现代公司治理机制中的重要内容,如何设计一套行之有效的经理激励制度也是企业面临的现实问题。本文讨论了再装股票期权在再装日和到期日按B-S定价模型执行时所产生的经理激励缺陷,提出了将有效期内股价的几何平均值作为再装期权结算价格的思想,建立了几何亚式-再装股票期权的定价模型。并利用保险精算方法,从评估实际损失和相应概率分布的角度,研究了几何亚式-再装股票期权的价值构成,获得了基于分数布朗运动下几何亚式-再装股票期权的保险精算定价公式。并将再装一次的几何亚式-再装股票期权推广到多次再装的情形,主要考虑了两次几何亚式-再装股票期权的定价模型,得到了相应的收益结构和定价公式。本文还通过数值模拟分析比较了传统再装期权与几何亚式-再装股票期权在经理激励中的作用。比较了在同等价值下两种股票期权的敏感性参数(Delta值和Vega值)。发现与传统再装股票期权价值相比,几何亚式-再装股票期权的Delta值普遍要大一些、而Vega值普遍要小一些,这说明几何亚式-再装股票期权能更有效地激励经理人和防止经理采取冒险的行为。且通过数值分析发现,对于几何亚式-再装股票期权的定价来说,考虑股价的长期相关性即Hurst系数是十分重要的,采用保险精算定价方法也是十分必要的。更多还原

【Abstract】 The compensation system of manager’s incentive is very important content in corporate governance mechanism, how to design an effective incentive system is also the real problems of manager.In this paper,we have discussed the implementation of Executive Compensation defects which was generated by BS model on the reloading time and expiration date, and the idea that the geometric mean of stock price in period of validity as a stock option’s settlement price was proposed to solve the Executive Compensation defects, and the geometric Asian - reload stock option pricing model was setted. An actuarial methods is proposed in view of evaluating actual losses and corresponding probability distribution to quantitatively cheek the price composition of the geometric asian-reload stock option, thus developing an option prcing model to deduce further the formula under the hypothesis of underlying asset price driven by fractional Brownian motion. And the once of the geometric Asian - reload stock options is extended to the case of multiple re-installed, the two geometric Asian - reload stock option pricing model is considered, and the corresponding income structure and pricing formulas are obtained.This article also compares Reload Stock Option with Geometric Asian-Reload Stock Option in the manager’s role by numerical simulation . In the same value , these sensitivity parameters (Delta value and Vega value )are Compared. Found that the Compare with the value of traditional reload stock options, the Delta value of the geometric Asian - reload stock option is generally bigger, but Vega value of the geometric Asian - reload stock option is generally smaller, indicating that the geometric Asian - reload stock option can more effectively motivate managers and prevent managers from taking more risky actions. For the geometric Asian - reload stock option pricing, the fact is obtained by the numerical analysis that the long term correlation of stock price(Hurst coefficient) is very important to the value of the geometric Asian - reload stock option, and the use of actuarial pricing methodology is also essential for.更多还原