| 具有上下障碍的再装期权定价模型与计算 |
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| 引用本文： | 傅强,郜琳琳.具有上下障碍的再装期权定价模型与计算[J].重庆大学学报(自然科学版),2007,30(4):144-147152. |
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| 作者姓名： | 傅强 郜琳琳 |
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| 作者单位： | 重庆大学,经济与工商管理学院,重庆,400030;重庆大学,数理学院,重庆,400030 |
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| 基金项目： | 上海证券交易所第12期联合研制招标项目 |
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| 摘 要： | 针对再装期权作为经理股票期权薪酬机制存在的问题,讨论了设置再装期权上下障碍的必要性,建立了考虑经理股票期权的长期激励因素以及在股市低迷时经理股票期权重置特征的改进的再装期权定价模型,并给出了计算公式及相应的模拟分析.
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| 关 键 词： | 再装期权 障碍期权 鞅 |
| 文章编号： | 1000-582X（2007）04-0144-04 |
| 修稿时间： | 2006-12-29 |
Model and Computation of Reload Stock Options with Barriers |
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| FU Qiang,GAO lin-lin.Model and Computation of Reload Stock Options with Barriers[J].Journal of Chongqing University(Natural Science Edition),2007,30(4):144-147152. |
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| Authors: | FU Qiang GAO lin-lin |
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| Institution: | 1. College of Economics and Business Administration; 2. College of Mathematics and Sciences, Chongqing University, Chongqing 400030, China |
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| Abstract: | Reload stock option is proposed as a executive stock option plan having some drawbacks, and prove that it is necessary to treat the reload option as a barrier option with two barriers. The improved reload option pricing model is established which the long incentive and reload feture of executive stock option are included. The pricing formula of the new option and the simulation analysis of it are discussed. |
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| Keywords: | reload option barriers option martingale |
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