论文部分内容阅读
经理期权的最优实施策略是计算公司经理期权的发行成本的关键.文章研究了在一定条件下经理期权两种实施策略的等价关系,即整体实施模型与非限制实施模型之间的等价.在先取效用函数再折现的情形下,证明了两种模型的等价性.首先,利用验证定理证明了整体实施下的变分不等式的解就是值函数.接着,证明非限制实施下的变分不等式的解等于整体实施的解.从而证明两种实施模型的等价关系.文章中的效用函数为指数函数,对于其他类型的效用函数,文章的结论和方法仍然有效.特别地,当效用函数为U(y)=y(即不带效用函数)时,两种模型是等价的.
The optimal implementation strategy of manager’s option is the key to calculating the issuance cost of manager’s option.The paper studies the equivalence relation between two options of manager’s option under certain conditions, that is, the equivalence between the overall implementation model and the unrestricted implementation model In the case of reentrancy, the equivalence of the two models is proved.Firstly, the proof theorem is used to prove that the solution of the variational inequality under the overall implementation is the value function.Secondly, it is proved that under the unrestricted implementation The solution of the variational inequality is equal to the solution of the whole implementation, so that the equivalence relationship between the two implementation models is proved.The utility function in this paper is an exponential function, and the conclusions and methods of the article are still valid for other types of utility functions.Especially when When the utility function is U (y) = y (that is, without a utility function), the two models are equivalent.