股票期权定价研究——以万科集团股票期权激励为例

硕士学位论文

股票期权定价研究——以万科集团股票期

权激励为例

RESEARCH ON THE PRICING

FORMULA OF STOCK

OPTIONS OPTIONS——————TAKING

TAKING AN EXAMPLE OF VANKE`S STOCK OPTIONS

INCENTIVE

杨双双

哈尔滨工业大学

2014年6月

国内图书分类号：830.9学校代码：10213国际图书分类号：336密级：公开

金融硕士学位论文

股票期权定价研究——以万科集团股票期

权激励为例

硕士研究生：杨双双

导师：冯晋副教授

申请学位：金融硕士

学科：金融

所在单位：管理学院

答辩日期：2014年6月

授予学位单位：哈尔滨工业大学

Classified Index:830.9

U.D.C:336

Dissertation for the Master`s Degree in Finance

RESEARCH ON THE PRICING FORMULA OF STOCK OPTIONS——TAKING AN EXAMPLE OF VANKE`S STOCK OPTIONS

INCENTIVE

Candidate：Shuangshuang Yang Supervisor：Prof.Jin Feng

Academic Degree Applied for：Master of Finance

Speciality：Finance

Affiliation：School of Management

Date of Defence：June,2014

Degree-Conferring-Institution：Harbin Institute of Technology

哈尔滨工业大学金融硕士学位论文

摘要

股票期权激励在现代企业激励制度中所扮演的角色已经成为了学者和管理者最为关注的问题之一，股票期权的定价研究是最重要的。而目前对于股票期权的定价研究还是基于公式自身，并未考虑企业自身机制的因素。本文在考虑B-S和二叉树模型自身的基础上，加入离职率和个人所得税的要素，对其进行改进并应用到具体的实例中。

本文首先结合已有的研究成果介绍了期权的分类、界定了股票期权和股票期权激励的概念、股票期权激励的优劣势和适用条件、对决定期权定价的各个因素进行介绍，对本文的研究基础作出界定；其次，引入古典的B-S模型并对其进行离职率改进，在形成新的模型公式的基础上应用到万科集团股票期权激励计划中，证明了离职率是股票期权定价的一个重要因素。再次，引入古典的二叉树模型、介绍了个人股票期权所得个人所得税的征税方法，并对其进行个人所得税的改进，在形成新的模型公式的基础上应用到万科集团股票期权激励计划中，证明了个人所得税是股票期权定价的一个重要因素。

本文在研究离职率对股票期权定价的影响时，选取了2011年5月10日和2012年7月12日两个万科集团离职率较高的节点。充分证实了猜想，不考虑离职率的股票期权定价远远高于考虑离职率的股权期权定价，股票期权持有者不考虑离职率的定价高估了现有的价值。在研究个人所得税对股票期权定价的影响时，由于实际情况过于复杂，构建了一个模拟的样本，将改进的模型应用到样本中，证明不考虑个人所得税的样本期权总价值高于考虑个人所得税的样本期权总价值。股票期权持有者不考虑个人所得税的定价高估了期权的价值。在基础、修正、实证的基础上得出结论，并对现行的企业期权激励制度给予建设性意见。

关键词：股票期权定价；离职率；个人所得税；B-S模型；二叉树模型

哈尔滨工业大学金融硕士学位论文

Abstract

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