摘要
本文运用期权定价理论、契约理论、会计理论和公司治理理论，采用数理推导和案例研究等多种研究方法，对经理股票期权定价理论进行了研究。首先从期权的种类和发展现状入手，区分了经理股票期权、一般看涨股票期权和实物期权，并进一步区分了经理股票期权和员工股票期权这两个概念。然后从经理股票期权契约的特殊性和复杂性出发，通过研究得出，经理股票期权的定价方法不能简单的照搬一般看涨股票期权的定价方法。接着本文从经理股票期权的特性出发，分析了现有经理股票期权定价方法的不足，并提出了经理股票期权定价的几种改进公式。此外，本文还研究了经理股票期权定价对么司治理的影响。在理论分析的基础上，本文选取了我国两个实行虚拟股票期权的上市公司作为案例，研究我国是如何实施经理股票期权计划的。最后对全文进行总结，并根据研究结果提出一些政策建议。
论文分三部分共六章论述。
第一部分提出了论文的主要研究问题。分为两章来论述，第一章是导论，主要阐述了论文的研究的背景、研究的意义、研究的方法、研究的框架。其中第一节介绍的是研究的背景，第二节介绍的是本文的理论意义和实践意义，第三节介绍的是本文的研究方法，第四节介绍的是本文的研究框架。
第二章是相关的文献综述。第一节介绍期权的种类和发展。第二节介绍常用的期权定价方法，如：偏微分解法、二项式法和鞅方法等。此外在解除B-S苛刻的假设条件之后，本文还介绍了股票价格不是连续变化而是随时间跳跃的期权定价公式，利率不是常数而是随机的期权定价公式，以及存在现金红利的期权定价公式。第三节介绍经理股票期权的特殊性，说明了经理股票期权的定价公式不能照搬一般股票期权定价公式的原因。第四节介绍了经理股票期权对公司治理的影响。
第二部分包括第三章、第四章，是这篇博士论文的核心内容。第三章研究了现有的经理股票期权定价，以及经理股票期权定价与一般看涨股票期权的不同之处。经理股票期权有五种行权方式，而现有文献仅研究了第一种行权方式下的经理股票期权的定价方法，而本文区分了这五种不同的行权方式。由于每种行权方法的现金流动、股权稀释程度均不相同，因此造成了每种行权方式下经理股票期权的会计属性不同，价值也不相同。本文计算出了采用不同行权方式的经理股票期权的定价方法。第三章第一节研究的是经理股票期权的会计属性。第二节研究不同行权方式下的经理股票期权定价。经理股票期权与看涨股票期权的一个区别是：在经理股票期权有效期限内，如果经理离职，其持有的股票期权中，有行权权的股票期权要立即行权，没有行权权的股票期权就会被废除。这无疑会影响到经理股票期权的价值。第三节研究考虑离职率时的经理股票期权定价，并改进了现有的存在离职可能性的经理股票期权定价公式。在符合一定条件下，有些种类的经理股票期权按资本利得纳税，不符合条件的按个人所得纳税，两种不同的纳税方法造成税后的期权价值不同。第四节研究考虑个人所得税时的经理股票期权定价。第五节研究股票回购对期权定价公式的调整。
公司实行经理股票期权制度的主要原因是为了促使经理与公司目标相一致，减少公司的代理成本，但是经理股票期权在实际应用过程中产生了许多新问题，对公司治理的方方面面产生了影响。经理股票期权在克服经理的一些代理问题的同时，又引发了一些新的代理问题。第四章主要研究与期权定价有关的经理股票期权引发的新的代理问题。如果用新增股票来满足行权的需要，就会稀释发行在外的股票数量，股票数量的变化会影响到许多会计指标的度量。这就提出了很多新的会计课题，如：每股净收益、资产负债率的计量。如果不把稀释效应考虑在内，许多会计指标就会出现偏差，就会给投资者带来虚假信息。目前使用的是内在价值法来估算经理股票期权的稀释影响，但是内在价值法没有考虑期权的时间价值，无疑会大大低估稀释的影响，尤其是当期权处于平价和虚值时。因此，应该用公允价值法来衡量期权的稀释效应。所以本章第一节研究了经理股票期权定价对会计指标的影响。由于经理持有大量的股票期权，所以从某种意义上来讲，经理是一个被动的投机者，承担了大量的风险。经理持有股票期权的虚值和实值程度不同，经理所受到的激励也不同，进而影响到经理对经营项目的选择。本章第二节研究经理股票期权的主观价值和风险承担之间的关系。由于传统的香子兰期权有许多缺点，许多金融学家提出用一些新型期权取代香子兰期权。第三节对比了传统期权和几种新型期权，并特别研究了不同行权方式下的指数化期权定价的修正公式。
第三部分包括第五章、第六章，是这篇论文的结论。第五章以中国石化和深圳高速两个公司为案例，描述了中国实行经理股票期权制度的情况，总结了我国经理股票期权制度有那些特点，与国外相比，有哪些异同，有哪些不足之处，以及如何改进我国的经理股票期权制度。第五章第一节概括了我国上市公司实行经理股票期权制度的情况；第二节论述了深圳高速公司实行股票期权制度的情况，第三节论述了中国石化公司实行股票期权制度的情况；第四节把两个公司作了对比研究，论述了在我国实行股票期权制度的优缺点。
第六章是整篇论文的结论、启示和创新之处，其中第一节是总结部分，第二节是启示部分，第三节是本篇论文的创新之处以及存在的不足之处。
Using options pricing theory, contract theory, accounting theory and corporate governance theory, this paper analyzes the current executive stock options(ESOs) pricing models. First, this paper contrasts the conception of executive stock options, the call stock options and real options, furthermore, this paper discusses the difference between executive stock options and employee stock options. Because of the complexities and specialties of ESOs, the executive stock options pricing models can't simply use the call stock options pricing models. Second, this paper points out the shortcomings of the current ESOs pricing models, and improves the ESOs pricing models. The third, this paper analyzes the impacts of ESOs on the corporate governance. The fourth, this paper selects two companies in our country and analyzes how the two corporate enforced their ESOs schemes. At last, this paper makes some conclusions and puts forward some suggestions to improve our country ESO schemes.
This paper can be divided by three parts and six chapters.
The first part contains two chapters. The first chapter is introduction of this paper. It discusses the background, meanings, methods and schemes of this paper. The first section introduces the background; the second section introduces the theoretical meaning and practice meaning of this paper; the third section introduce method of this paper; the fourth section introduce the scheme of this paper.
The second chapter is composition of ESOs papers concerned. The first section introduces the categories and progress of options. The second section introduces the currently used options pricmg models, such as binomial method and martingale method. If the stock price is not constant but jump occasionally, or if the interest rate is not constant but random, the ESOs pricing model must be changed, then I introduces some revised ESOs pricing model. The third section talks about specialties of the ESOs pricing models, the executive stock option pricing models can't simply use the call stock option pricing models. The fourth section analyzes how the ESOs scheme influences the corporate governance.
The second part includes the third and the fourth chapter, and it is the backbone of this paper. The third chapter tells the difference between executive stock options and call options. The executive stock options have five exercise approaches in reality, today only first exercise way was studied by economists. This paper tells the difference of five exercise approaches. Because each exercise approaches has different cash flow and dilution, so the value is different. This paper figures out each exercise approaches. The first section analyzes the accounting attribute of ESOs; the second section figures out the pricing models under different approaches. When ESOs maturity don't expire, if the executive leaves the corporate he or she served, he or she will lose his or her ESOs which he or she was granted years ago. The third section analyzes the ESOs pricing model when executive leave his corporate he served before maturity is not over. The fourth section analyzes the ESO pricing model considered the personal tax rate. The fifth section analyzes the ESO pricing model when the corporate bought back its own stock in open market.
The most important reason why corporate grant executive ESOs is to align the executive with corporate and to cut the cost down, however, there appears many new agency cost problems which interfere all aspects of corporate governance. ESOs can cut down certain kind of agency costs, however, they can bring forward some new agency costs. The fourth chapter analyzes new agency problems. When the maturity comes and the stock price is higher than the exercise price, the executives who hold these ESOs have the right to exercise them. If the company use new issued stocks to satisfy the executive needs, it will dilute equity and have impact on many accounting index. It requires a lot of new questions, such as earning per share and debt/asset ratio. If we don't take the dilution into account, it will give the investors mislead information. Now we use intrinsic method to calculate diluted ESOs, but intrinsic method don't take time value into account, it will lower the dilution impaction especially when ESOs is out of the price. So the first section analyzes how the ESOs impact the accounting index. Because the executives hold so many ESOs, they take a huge risk. When the ESOs are in different place, the risk executive undertaken is different. So the second section analyze the relationship between risk undertaken and ESOs valuations whose the executives think about it. The traditional ESOs(vanilla options) have many shortcomings, many economists use some new kinds of options to take place the traditional one, so the third section compare the traditional ESOs with new kinds of options.
The third part includes the five and six chapters, and it is the conclusion of this paper. The fifth chapter focuses on the Shenzhen express case and China petroleum case, and analyzes how the two firms enforced their ESOs scheme. Compared with the oversea country, we can see the shortcoming and the advantages of ESOs scheme and how to improve on the ESOs scheme. The first section introduce current situation ESOs schemes in our country, and the second section analyze the ESOs scheme of Shenzhen express, and the third section analyzes the ESOs scheme of China petroleum, and the fourth section contrasts the two corporate ESOs scheme.
The sixth chapter is the conclusion, counsels and innovations of this paper. The first part is the conclusion, and the second part is the counsel, and the third part is the innovations and shortcomings of this paper.
引文
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