A科技股份有限公司因股份支付涉及的股份期权公允价值评估案例研究  

A Case Study on Fair Value Valuation of Stock Options in Share Payment of A Technology Enterprise

作　　者：郑慧娟[1] 黄青发 阳斌 梁嘉欣 Zheng Huijuan;Huang Qingfa;Yang Bin;Liang Jiaxin(Guangdong University of Finance and Economics,Guangzhou 510320,China;Guangdong Zhongqihua Zhengcheng Assets Real Estate Land Appraisal Consulting Co.,LTD,Guangzhou 510180,China)

机构地区：[1]广东财经大学,广州510320 [2]广东中企华正诚资产房地产土地评估造价咨询有限公司,广州510180

出　　处：《中国资产评估》2024年第1期72-80,F0003,共10页Appraisal Journal of China

摘　　要：案例描述了实物期权模型在企业实施股权激励计划时评估股份期权公允价值中的应用。首先介绍了实物期权定价模型、运用实物期权法评估的资产特征及Black-Scholes期权定价模型在股份期权评估中的应用。在案例陈述中,阐述了企业股权激励计划概况和评估思路,详细说明了标的资产价值等各项参数的取值过程,运用含分红派息的Black-Scholes看涨期权模型计算评估值,并且进行了参数的敏感性分析。通过搜集Wind资讯的207个上市公司期权激励方案,分析了实物期权定价模型的适用性,以及无风险收益率、股票波动率、股息率等无相关监管指引约束的参数取值的考虑,最后提出谨慎选取模型、规范参数取值和加强信息披露监管的建议,以提高实物期权定价模型的适用性和评估结果的客观性。This case describes the application of real option model to evaluate the fair value of stock options when enterprises implement equity incentive plans.Firsly,the paper introduces the real option pricing model,the asset characteristics of real option valuation and the application of Black-Scholes option pricing model in stock option valuation.In the case statement,the overview and evaluation ideas of the enterprise equity incentive plan are described,and the value process of the underlying asset value and other parameters are explained in detail.Black-Scholes call option model including dividend payout is used to calculate the evaluation value,and the sensitivity analysis of parameters is carried out.By collecting the option incentive schemes of 207 listed companies in Wind,the applicability of the real option pricing model is analyzed,as well as the consideration of the value of parameters that are not constrained by relevant regulatory guidelines,such as risk-free return rate,stock volatility and dividend yield.Finally,suggestions are put forward to carefully select the model,standardize the parameter value and strengthen the supervision of information disclosure,to improve the applicability of real option model and the objectivity of results.

关 键 词：股份期权评估 股权激励 案例研究 实物期权模型 

分 类 号：F270[经济管理—企业管理]