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Research On Option Pricing Model And Its Application In Executive Incentive

Posted on:2006-04-13Degree:MasterType:Thesis
Country:ChinaCandidate:Z J DiFull Text:PDF
GTID:2156360152489464Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
Since 1980s, financial derivatives have been widely developed in international finance. The creation and transaction of financial derivatives have been the main part of the international financial innovations. Options have important economic functions, which can elude market risk, increase market fluidity decrease transaction costs, and improve transaction efficiency. Option pricing is very important, because every thing can use it when the thing includes contingent, and it can also to help to solve the problem between the owner and the executive. The main research of this dissertation include option pricing model when it's volatility is uncertain , designed a new type of path dependent options, and the new type of path dependent options' application. Firstly, based on the theory of "No-Arbitrage", option pricing model when it's volatility is uncertain was made successfully , the new option pricing model in this dissertation can be applied abroad and own furthermore practicability, and Black-Scholes Option Pricing Model just its one case. Secondly, constructed a new type of the path dependent option, the new type of the path dependent option has the character both Barrier-option and Asian-option, and presented its pricing model based on binomial theory. Lastly, executive stock options and its basic principle are introduced, and point out that the new type of the path dependent options which designed in this thesis is very useful in executive incentive, which to establish a rational the method executive stock options incentive mechanism is very important. The innovations of this dissertation as fellow: (1) Based on the theory of "No-Arbitrage", option pricing model when it's volatility is uncertain was made successfully , the new option pricing model in this dissertation can be applied abroad and own furthermore practicability. (2) Constructed a new type of the path dependent option, the new type of the path dependent option has the character both Barrier-option and Asian-option, and presented its pricing model based on binomial theory. (3) Executive stock options and its basic principle are introduced, and point out that the new type of the path dependent options which designed in this thesis is very useful in executive incentive,which to establish a rational the method executive stock options incentive mechanism is very important.
Keywords/Search Tags:Exotic Option, Black-Scholes Option Pricing Model, Volatility, Stock-options Incentive, Path depended option
PDF Full Text Request
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