带跳扩散模型下经理期权的最优实施策略
发布时间：2018-08-30 12:42
【摘要】：经理期权(简称ESOs)是公司作为酬金发给经理或员工的以本公司股票为标的资产的一种看涨期权。由于经理股票期权具有使用灵活、成本低、不耗费公司现金流等优点,ESOs己成为公司激励员工勤勉敬业的重要手段。但由于ESOs发行量较多,其相应的发行成本也很可观,因此有必要对ESOs进行合理定价。由于ESOs的价值由经理人实施策略决定,因而需要理性预测经理人未来的实施策略。在金融市场上经理人不能卖空ESOs,所以不能用无套利定价方法对ESOs进行定价。 本文基于效用函数最大化框架,研究永久ESOs的价值和经理人的实施策略。假设经理人的效用函数为幂效用函数χγ(0γ≤1),公司股票服从跳扩散过程,其跳幅度服从指数分布,我们对一份永久美式ESO的价值建立了一个效用最大化最优停时模型,其值函数是一个变分不等式定解问题的解。通过精细的计算和适当的技巧,我们得到了该变分不等式的显式解。此外,我们还证明了最优实施边界关于相关参数的单调性及渐近性质。
[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 纬 (0 纬 鈮，
本文编号：2213099
[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 纬 (0 纬 鈮，
本文编号：2213099
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