An Actuarial Approach To Geometric Asian Reload Stock Option Based On Fractional Brownian Motion And Analysis Of Manager's Incentive

The compensation system of manager's incentive is very important content in corporate governance mechanism, how to design an effective incentive system is also the real problems of manager.In this paper,we have discussed the implementation of Executive Compensation defects which was generated by BS model on the reloading time and expiration date, and the idea that the geometric mean of stock price in period of validity as a stock option's settlement price was proposed to solve the Executive Compensation defects, and the geometric Asian - reload stock option pricing model was setted. An actuarial methods is proposed in view of evaluating actual losses and corresponding probability distribution to quantitatively cheek the price composition of the geometric asian-reload stock option, thus developing an option prcing model to deduce further the formula under the hypothesis of underlying asset price driven by fractional Brownian motion. And the once of the geometric Asian - reload stock options is extended to the case of multiple re-installed, the two geometric Asian - reload stock option pricing model is considered, and the corresponding income structure and pricing formulas are obtained.This article also compares Reload Stock Option with Geometric Asian-Reload Stock Option in the manager's role by numerical simulation . In the same value , these sensitivity parameters (Delta value and Vega value )are Compared. Found that the Compare with the value of traditional reload stock options, the Delta value of the geometric Asian - reload stock option is generally bigger, but Vega value of the geometric Asian - reload stock option is generally smaller, indicating that the geometric Asian - reload stock option can more effectively motivate managers and prevent managers from taking more risky actions. For the geometric Asian - reload stock option pricing, the fact is obtained by the numerical analysis that the long term correlation of stock price(Hurst coefficient) is very important to the value of the geometric Asian - reload stock option, and the use of actuarial pricing methodology is also essential for.