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1、上海交通大学硕士学位论文经理股票期权的最优重新定价姓名:闫瑞习申请学位级别:硕士专业:应用数学指导教师:韩东20070101THEOPTIMALREPRICINGSCHEMEOFEXECUTIVESTOCKOPTIONSABSTRACTWhenthepriceofstockorientedbytheexecutivestockoptionsdeclinesdeeply,theincentivemechanismwillweakenoralmostlosealltheincentiveeffect,thenthecompanywillruntheris
2、koflosinghumanresource.Topersuadethehumanresourcetostayinthecompanyandworkharder,thecompanywillconsiderrepricingtheexecutivestockoptions,orpromisethepossiblerepricing.Thispaperwillassumethatthereareeffectivestockmarketandeffectiveexecutivemarket,andthebasichypothesisesinBlack-S
3、cholesStockOptionsPricingModelarecorrect.Wewilldiscusstheoptimalrepricingschemeunderthreesituations,oneisthattheboardofthecompanyconsidersrepricingwhenthepricedeclinesstraightly;thesecondisatthebeginningofstocklife,theboardpromisestorepriceundersomeconditionsatacertaincomingtim
4、e;thethirdiswhensomeconditionhappensatanuncertaincomingtime,theboardpromisestorepricetheESO.Thecompanyconsidersthreerepricingschemes(namelyishigher,equaltoorlowerthanthepriceattherepricingtime)throughEqual-Value-Exchangeoptionrepricingapproach.Foreachscheme,theexecutivehashisow
5、naction,retaininginthecompanyorleavingittotheeffectiveexecutivemarkettoearnhisaveragevalue.Forthisprocess,wewillcontributeatwopeople,notcooperative,completeinformation,dynamicalgameframe.Weconsiderexecutivevaluecalculatedwithcertain-equal-valueapproachasexecutives’effectivefunc
6、tion,andtheincentiveeffectasthecompany’seffectivefunction.Wewilllookforfromthecompany’sviewpointtheoptimalschemeunderthesameoptionsfinancialcost,andlookforthefiningNashbalanceforthesegameframesunderdifferentconditions.Finallywefindaroadforthecompanytoreprice.KEYWORDS:executive,
7、stockoptions,repriceV上海交通大学学位论文独创性声明本人声明所呈交的学位论文是本人在导师指导下进行的研究工作及取得的研究成果。除了文中特别加以标志和致谢的地方外,本论文中不包含其他人己经发表或撰写过的研究成果,也不包含为获得上海交通大学或其他教育机构的学位或证书而使用过的材料。与我一同工作的同志对本研究所做的任何贡献均已在论文中作了明确的说明并表示谢意。本人完全意识到本声明的法律结果由本人承担学位论文作者签字:闫瑞习日期:2007年1月20日II上海交通大学学位论文版权使用授权书本学位论文作者完全了解学校的有关保留、使用学位论文的
8、规定,同意学校保留并向国家有关部门或机构送交论文的复印件和电子版,允许论文被查阅和借阅。本人授权上海交通大学