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.
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。
According to the definition of reload option,the paper deals with the problem of how the binomial option pricing model can be used to value the price of American reload option;in the same time,it exemplifies that the value of reload options will be underestimated if we ignore the reload feature of reload options.
介绍了如何运用二项式期权定价模型 ,根据再装期权的定义 ,导出再装期权的定价公式 ,同时 ,通过实例说明了若忽略再装期权的再装特征 ,将低估再装期权的价值 。
Under the risk-neutral hypothesis,then find equivalent martingale measure and by means of martingale method,we obtain the European reload option pricing formulas on stocks with jump-diffusion process by simply mathematical induce.
本文建立股票价格的跳过程为Poisson过程,跳跃高度服从对数正态分布时股票价格过程的随机微分方程,在风险中性的假设下找到等价鞅测度,利用鞅方法,用较简单的数学推导得到了股票价格服从跳-扩散过程的欧式再装期权定价公式。
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