确定性等值法的经理人股票期权估值研究——基于经理人投资决策的期权估值模型  

Certainty-equivalence Approach and Executive Stock Option Valuation——An Option Vluation Model based on Executive's Investment Decision

作　　者：覃予[1] 陶黎娟[1] 

机构地区：[1]厦门大学管理学院,福建厦门361005

出　　处：《财会通讯（下）》2009年第2期117-119,126,共4页Communication of Finance and Accounting

摘　　要：鉴于用股价来估计期权价值的缺陷,本文从经理人投资决策会影响企业价值,继而影响经理人股票期权价值的角度,引入确定性等值法,构建了对经理人股票期权价值估计模型,并对模型进行了数值模拟,得出以下结论:经理人投资风险项目底线值是其风险规避程度和风险项目波动幅度的增函数,是经理人持有股票期权比例的减函数;股票期权价值是经理人风险规避程度的减函数,是风险项目波动幅度的增函数。Taking into account the fact that executive's investment decision would have an impact on company value,and then influence stock option value,we employ a certainty-equivalence framework and develop a triple-stage model to analyze stock option value.By simulating this model,we conclude that stock option value is a decreasing function of executive's relative risk aversion and an increasing function of the project's variation.

关 键 词：确定性等值法 经理人股票期权价值 投资风险项目 底线值 

分 类 号：F275[经济管理—企业管理] F830.91[经济管理—国民经济] F224