| 摘要: |
| “不可交易”是经理股票期权（ESO）的重要特征之一.受制于此，经理股票期权无法通过对冲其标的资产来完成定价.考虑一类具有再装条款的经理股票期权，基于效用无差别方法，运用随机控制理论，推导出了定价模型满足的Hamilton-Jacobi-Bellman（HJB）方程，并运用格林函数，计算得到了经理股票期权无差别价格的解析解.最后，对模型的解析解进行了参数分析. |
| 关键词: 经理股票期权(ESO) Hamilton-Jacobi-Bellman(HJB)方程 效用无差别定价 格林函数 |
| DOI：10.3969/J.ISSN.1000-5137.2018.01.001 |
| 分类号: |
| 基金项目:国家自然科学基金（71471117）；上海市教委科研创新重点项目（13ZZ107）；上海师范大学自科项目（SK201506）；教育部人文社会科学研究青年基金（17YJCZH044） |
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| Utility indifference pricing of ESO with reload terms |
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Fu Yi1, Zhang Jizhou1, Ji Sulei2
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1.School of Finance and Business, Shanghai Normal University, Shanghai 200234, China;2.Mathematics and Science College, Shanghai Normal University, Shanghai 200234, China
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| Abstract: |
| “Nontradable” is one of the important characters of the Executive Stock Option(ESO).Therefore,the ESO cannot be priced by hedging the corresponding underlying asset.In this paper,we study ESO with reload terms by utility indifference method,based on stochastic control theory.We deduce the Hamilton-Jacobi-Bellman(HJB) equation of the pricing model.Using variable substitution and Green function method,we obtain its analytic solution.Finally,we analyze the parameters of the model. |
| Key words: executive stock option(ESO) Hamilton-Jacobi-Bellman(HJB) equation utility indifference pricing Green function |
