亚式期权激励特性及其对经理的激励效用分析

选择期权价值对股票价格的敏感性(d elta)、期权价值对股票收益波动率的敏感性(veg a)这2个参数作为经理股票期权激励参数,d elta随股票价格的上升而增大,veg a随股票收益波动率的上升而下降,比较发现亚式期权d elta值大于标准期权,亚式期权veg a值小于标准期权,且期权期限越长,亚式期权d elta越小。证明了采用亚式期权有利于激励经理努力工作,提高公司经营业绩,推动股票价格上涨,抑制经理冒险投机行为引起股票收益异常波动,同时,讨论了亚式期权激励机制存在的缺陷。

Incentive Idiosyncrasy of the Asian Option and its Incentive Effect on Managers

The sensitivity of the option value to stock price(delta) and the sensitivity of the option value to stock return volatility(vega) are selected as two parameters of executive stock option.Delta increases with the rising of the stock price,and vega decreases with the rising of the stock return volatility.By contrast with the traditional executive stock option,the delta of Asian option is large and the vega is small.The delta of Asian option is smaller as the scheduled time is longer.It is proved that Asian option can incentive executive to work hard and restrain executive to gamble.Meanwhile,the limitation of Asian option is discussed.