考虑稀释效应的永久经理期权实施策略研究.pdf

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9(a)IAbstractOptimalstrategiesofthePerpetualExecutiveStockOptions···OptimalstrategiesofthePerpetualExe

3、cutiveStockOptionswiththeDilutionEffectAbstractExecutivestockoptions(ESOs)playsanincreasinglyimportantroleinmoderncorporategovernance,sohowtomakeareasonablepricingforESOshasbecomeanimportantissuefacingenterprises.Inthepaper,wemainlydiscussaproblemthatth

4、edilutioneffect,whichcausedbyexercisetheESOs,influenceontheoptimalstrategiesandpricingfortheperpetualESOswithunrestrictedexercise.Firstofall,byuseoftheexecutive’sutilitymaximizationandfollowRogersandScheinkman[4](2007)method,wehaveestablishedastochastico

5、ptimalcontrolmodelfortheexecutivestockoptionswithfinite-horizonunderconsideringthedilutioneffectandobtainedthedefiniteproblemofthecorrespondingparabolicvariationalinequality,thengiventheirfinancialsignificance.Secondly,wegivetheexpressionofthesolutionofthea

6、boveparabolicvariationalinequalitiesandinitialvalueproblemofordinarydifferentialequationwithfreebound-arysatisfiedundertherisk-freeinterestrater=0.Finallyintroducesomepropertiesofthesolutionandthefreeboundary.Finally,wegivetheexpressionoftheoptimalimplem

7、entationstrategies.Intherisk-freeinterestrater=0andexponentialutilityfunction,westrictlyprovetheveri-ficationtheorem:thesolutionofthevariationalinequalityproblemisthevaluefunctionofthestochasticoptimalcontrolproblems.Andthenwediscussthenatureandunique-n

8、essoftheoptimalimplementationstrategy.Keywords:ExecutiveStockOptions;StochasticoptimalControl;DilutionEffect;Variationalinequality;OptimalexercisestrategyWrittenbyChengKangSupervisedbyProf.YuWanghuiII>8p*tj..............................