Research On The Pricing Formula Of Stock Options

The role of stock options incentive in modern company incentive scheme has been an important problem in scholars and executives’eyes, the study of the pricing formula of stock options is special.But at present,the study of the pricing formula of stock options is on the base of formula itself,company environment is not included.On the base of B-S model and Binomial tree model,this paper includes quit rate and individual income tax,consummate and combine with actual cases on B-S model and Binomial tree model.At first,this paper analyzes the classification of the options、two concepts of stock options and stock options incentive、the advantage、disadvantage and the suitable conditions of the stock options incentive、the key factors of the pricing formula of stock options,build the base of paper study. Second,perfect the B-S model existed on the factor of quit rate,combining with actual case of VANKE’s stock option incentive plan,we found quit rate is one important factor of the pricing formula of stock options. Third,analyzed the levy method on the ones who hold the stock option in the point of view of the individual income tax,improve the Binomial tree model existed on the factor of the individual income tax,apply the improvement formula to the actual case of VANKE’s stock option incentive plan,we found the individual income tax is one important factor of the pricing formula of stock options.On the part of the study of the role of quit rate on the pricing formula of stock options,via choosing appropriate time:05.10.2011、07.12.2012,which is higher in VANKE’s turnover.Fully proved the point,the pricing formula of stock options which is not include the quit rate is higher than the pricing formula of stock options which is include the quit rate,the holders of stock options overestimate the pricing formula of stock options which is not include the quit rate. On the part of the study of the role of individual income tax on the pricing formula of stock options,because the actual cases is too complex,build an simulated sample,apply the improved model in the sample,we f found the sample’s total value which is not include the individual inconme tax is higher than the sample’s total value which is include the individualicome tax is higher than the sample’s total value which is include the individual income tax. The holders of stock options overestimate the pricing formula of stock options which is not include the individual income tax. On the base of the foundation、the improvement、the empricial,we draw a conclusion,and put forward the constructive suggestions on the company stock incentive scheme.