永久ESOs的效用无差别价格的性质  

The Properties of the Utility Indifference Price of the Perpetual ESOs with Unrestricted Exercise

作　　者：宋丽平[1] 陈锦毅[1] 

机构地区：[1]莆田学院数学学院,福建莆田351100

出　　处：《吉林师范大学学报（自然科学版）》2015年第1期77-81,共5页Journal of Jilin Normal University:Natural Science Edition

基　　金：国家自然科学基金项目(11471175);莆田学院育苗基金项目(2014060;2014061);莆田学院教学改革项目(JG201414)

摘　　要：经理股票期权(简称ESOs)的定价是在一个不完备的市场中进行的,本文基于经理人的财富效用最大化法研究非限制实施下永久ESOs的效用无差别价格及其性质.首先,在幂效用函数和指数效用函数两种情形下,推导效用无差别价格与值函数的关系,基于值函数所满足的变分不等式,得到效用无差别价格满足的变分不等式.其次,在一般效用函数和线性效用函数下研究了效用无差别价格的性质.Pricing of executive stock options（ ESOs for short） is carried out in the incomplete market. In this paper,we investigated the utility indifference price of the perpetual ESOs with unrestricted exercise and its properties were based on the executive ＇s wealth utility maximization method. Firstly,we derived the relation between the utility indifference price and the value function in the case of powering the utility function and the exponential utility function. Thus,we got a variational inequality which the utility indifference price of the perpetual ESOs was satisfied with. Secondly,we discussed some properties of the utility indifference price.

关 键 词：永久ESOs 效用无差别价格 性质 非限制实施 变分不等式 

分 类 号：O175.2[理学—数学] F830.9[理学—基础数学]