大连理工大学学报（社会科学版）
大連理工大學學報（社會科學版）
대련리공대학학보（사회과학판）
JOURNAL OF DALIAN UNIVERSITY OF TECHNOLOGY(SOCIAL SCIENCES)
2015年
2期
60-65
,共6页
高管股权激励%跳跃限制%涨跌停制度
高管股權激勵%跳躍限製%漲跌停製度
고관고권격려%도약한제%창질정제도
executive stock option incentive%jump limit%mechanism of price limit
如何合理地评估高管股票期权的价值仍然是业界和学界的难题之一。在传统的基于BS期权定价模型的基础上，考虑我国股票市场的涨跌停限制的制度设计，运用三点概率分布将这一制度特征刻画在股价跳跃过程之中，提出了引入跳跃限制的股权价值定价模型。以实施股权激励计划公司为训练样本并对未来期权价值进行模拟，模拟结果表明，中国证券市场的涨跌停制度对于高管股票期权价值是有影响的，增加股价跳跃限制的定价模型降低了传统BS模型对股权价值的高估程度，这将有利于进一步优化高管股票期权激励的定价模型。
如何閤理地評估高管股票期權的價值仍然是業界和學界的難題之一。在傳統的基于BS期權定價模型的基礎上，攷慮我國股票市場的漲跌停限製的製度設計，運用三點概率分佈將這一製度特徵刻畫在股價跳躍過程之中，提齣瞭引入跳躍限製的股權價值定價模型。以實施股權激勵計劃公司為訓練樣本併對未來期權價值進行模擬，模擬結果錶明，中國證券市場的漲跌停製度對于高管股票期權價值是有影響的，增加股價跳躍限製的定價模型降低瞭傳統BS模型對股權價值的高估程度，這將有利于進一步優化高管股票期權激勵的定價模型。
여하합리지평고고관고표기권적개치잉연시업계화학계적난제지일。재전통적기우BS기권정개모형적기출상，고필아국고표시장적창질정한제적제도설계，운용삼점개솔분포장저일제도특정각화재고개도약과정지중，제출료인입도약한제적고권개치정개모형。이실시고권격려계화공사위훈련양본병대미래기권개치진행모의，모의결과표명，중국증권시장적창질정제도대우고관고표기권개치시유영향적，증가고개도약한제적정개모형강저료전통BS모형대고권개치적고고정도，저장유리우진일보우화고관고표기권격려적정개모형。
There still remains one of the difficult problems of how to make a reasonable estimation of the value of stock option incentive for top executives in listed companies in current industry and academia .Based on the stock option pricing model of traditional Black‐Scholes ,this paper takes the price limit mechanism in Chinese stock market into consideration through introducing three points probability distribution to stock price jumping process ,and presents a new option pricing model limited by diffusion‐jumping .This paper selects the listed companies that implement stock option incentive as the training sample and simulates further value of option . Results of the simulation indicate that the mechanism of price limit in Chinese stock market will affect stock op‐tion value for top executives ,and the pricing model w hich increases the limit of stock price jumping reduces the overestimation of traditional Black‐Scholes model of stock value ,which will be conducive to optimizing the pri‐cing model for top executives’ stock option incentive .
