| 确定性等值法在经理股票期权定价中的应用研究 |
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| 引用本文： | 莫旋,谢烜. 确定性等值法在经理股票期权定价中的应用研究[J]. 成都理工大学学报(社会科学版), 2006, 14(1): 72-75 |
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| 作者姓名： | 莫旋 谢烜 |
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| 作者单位： | 湘潭大学,湖南,湘潭,411105;湘潭大学,湖南,湘潭,411105 |
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| 摘 要： | 布莱克-斯科尔斯模型是国际上通用的期权定价模型,但这一模型应用于经理股票期权价值的确定却遭到越来越多的批判。针对经理股票期权的特征,文章拟采用“确定性等值法”来科学、合理地解决经理股票期权价值的确定问题。这将有利于股权激励机制的优化,从而达到最优激励效果。
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| 关 键 词： | 经理股票期权 确定性等值法 期权定价 布莱克-斯科尔斯模型 |
| 文章编号： | 1672-0539(2006)01-072-04 |
| 修稿时间： | 2005-09-28 |
Appliance Study of "Certainty Equivalent Value" in Option Pricing of Executive Stock |
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| MO Xuan,XIE Xuan. Appliance Study of "Certainty Equivalent Value" in Option Pricing of Executive Stock[J]. Journal of Chengdu University of Technology:Social Sciences, 2006, 14(1): 72-75 |
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| Authors: | MO Xuan XIE Xuan |
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| Abstract: | Blake-Scholes Model is usually used in option pricing in the world,but the model used in encounters more and more criticism.In view of the characteristic of executive stock option,This paper plans to use"certainty equivalent value"scientifically and reasonably to solve the pricing of executive stock option,which will be propitious to optimize the incentive mechanism of stock option,accordingly achieve the first-rank encouragement. |
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| Keywords: | executive stock option certainty equivalent value Option pricing Blake-Scholes model |
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