Study On The Impact Of Stock Price Volatility On The Value Of Incentive Options

Because of the principal-agent problem,option incentive is considered as one of the most effective methods in the incentive system.Option incentive can reduce agency costs,avoid short-sighted behaviors,attract and retain high-capacity talents,and increase the competitiveness of enterprises.The reasonable option pricing plays the vital role in order to make option incentive have the above effect.Therefore,this paper studies the influence of the characteristics of stock price volatility on the value of options,improves the long-term option pricing model,makes it more reasonable,guides the practice,and gives full play to the option incentive,which has important theoretical and practical significance.Firstly,the research background and significance of option incentive are introduced.Based on this,the article reviews the research on option value at home and abroad,and finds that the research on long-term option pricing in China is still in its infancy.Therefore,this paper studies the influence of the characteristics of stock price volatility on the value of options,aiming at exploring some tentative models of long-term option pricing.At the beginning of the study,the definition of option is introduced briefly,and the previous scholars' research on option pricing model is summarized.Secondly,the paper makes an empirical study on the relationship between the option deadline and logarithm yield distribution characteristics and stock price volatility.Using regression analysis method,it finds that the trend index of long-term options is different from that of short-term options,which is not 0.5.Because logarithmic yield does not obey the normal distribution,the first half standard deviation and the second half standard deviation are proposed,and the value of call options is calculated with the first half standard deviation.The second half standard deviation is used to calculate the value of put options.Finally,the modified Bermuda option pricing model,the modified combination European option pricing model and the modified combination American option pricing model are proposed,which provide a reliable pricing method for long-term options and broaden the application scope of existing theories.