在隨機利率下具重載特質之員工選擇權的評價; The Valuation of Employee Reload Options with Stochastic Interest Rates

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題名:	在隨機利率下具重載特質之員工選擇權的評價;The Valuation of Employee Reload Options with Stochastic Interest Rates
作者:	鄭濰昌;Wei-Chang Cheng
貢獻者:	財務金融研究所
關鍵詞:	具重載特質之員工選擇權;隨機利率;Employee reload options;Stochastic interest rates
日期:	2006-07-05
上傳時間:	2009-09-22 14:41:11 (UTC+8)
出版者:	國立中央大學圖書館
摘要:	過去的文獻提供數種對於具重載特質之員工選擇權的定價方法。這些評價方法皆假設無風險利率為常數。然而具重載特質之員工選擇權的到期日相對於市場上其它型態的選擇權為長，因此我們認為將利率的變動納入評價中是合宜的。在本篇論文中，使用不同於過去文獻中所提供評價具重載特質之員工選擇權的方法，我們修改 Hull and White (1993) 的模型並且應用在評價具重載特質之員工選擇權。接著將修改後的 Hull and White (1993) 的模型與 Hillard, Schwartz, and Tucker (1996) 的模型合併後,評價隨機利率下具重載特質的員工選擇權。結果發現到期日越長，具重載特質之員工選擇權的價格在隨機利率與假設利率為常數之間的差也較大，並且當股價波動率越大時，這兩者之間的差距也越小。我們認為這是由於影響具重載特質之員工選擇權的主要因子為股價，而利率的影響相對而言較為薄弱之故。 In the previous published literature, there are several methods for pricing employee reload options. All of them assume that the interest rate is constant. However, maturity of employee reload options is always longer than that of financial options in practice. Hence we think that it is more appropriate to value employee reload options with stochastic interest rates. In this study, we first modify the Hull and White (1993) model to fit the properties of reload options. We then combine the modified Hull and White (1993) model and Hilliard, Schwartz, and Tucker (1996) model to value employee reload options with stochastic interest rate. From numerical results, we find two interesting results. One is that the percentage of the difference between employee reload options with stochastic interest rates and with constant interest rates is larger when maturity of employee reload options is relatively long. The other is that the volatility of the stock price increases, the difference between employee reload options with stochastic interest rate and that with constant interest rate decreases. We find that the major factor which decides the value of reload options is the underlying stock price.
顯示於類別:	[財務金融研究所] 博碩士論文

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