二叉树模型运用于员工股票期权的研究-计算数学专业论文.docxVIP

摘 要 员工股票期权在二十世纪五十年代兴起于美国。它作为一种长效的激励机制， 由于其激励效果和成本上的优势，为美国二十世纪九十年代的生产增长、技术创 新和股市繁荣起到了重要的推动作用。在我国，由于具体国情与西方国家不同， 市场经济发展相对滞后，直到二十世纪九十年代末期才引进员工股票期权激励措 施。随着证券市场的飞速发展和公司业绩的整体提升，一些公司开始有意识的实 行股票期权激励机制。据统计目前沪深两市已有 10%的上市公司提出了股票期权 激励计划，最少的也有 1000 万股之多。然而我国的员工股票期权激励尚处于起步 和探索阶段，有许多问题需要探讨，计量模型的选择就是其一。 本文通过分析和借鉴国内外员工股票期权会计理论及其研究思路，并结合我 国证券市场的特点，综合运用理论分析、比较分析等研究方法，试图在现有的会 计模式下为员工股票期权公允价值的会计计量找到一种更适用于我国的模型，并 对模型参数的估计进行了讨论。 本文首先介绍了运用于股票期权公允价值的计量模型:Black-Scholes 模型、二 叉树模型以及增长-折现模型和最小价值法。通过分析各个模型的优缺点，得出二 叉树模型对于员工股票期权具有更大的弹性。最后，也是本文的重点，分析了二 叉树模型为什么更适合于员工股票期权的计量以及模型参数的估计问题。通过实 例，采用分析比较方法得出了本文的方法是有效的。 关键词：二叉树模型，员工股票期权，参数估计 ABSTRACT The Employee Stock Option emerged in US in the 1950s. As a long-term incentive system, in possession of the distinct superiority on incentive effect and cost, Employee Stock Option played an important role in productivity growth and technological innovation among US companies in the 1990s. In our country, the implementation of Employee Stock Option incentives was introduced until the late-1990s，because of the different national condition from the Western country and the relatively underdeveloped market economy. Accompanied by the rapid development of securities markets and enhance of the company’s overall performance, some companies began to implement the stock option incentives. At present, according to statistics,10% companies has applied the stock option incentive plan in Shanghai and Shenzhen stock market, among which are 10,000,000 shares at least. However, Employee Stock Option Incentive is in the beginning and exploratory stage in China. It is the problem that how to choose the econometric models in many problems discussed. This article tries to find out a model which is more fit to our situation through learning from Employee Stock Option Accounting Theory and research ideas, combining with the characteristics of Chinas securities market and using the methods such as theoretical analysis, comparative analysis and so on. Then we discuss the parameter