Model and Computation of Reload Stock Options with Barriers
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TN830.9

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    Abstract:

    Reload stock option is proposed as a executive stock option plan having some drawbacks, and prove that it is necessary to treat the reload option as a barrier option with two barriers. The improved reload option pricing model is established which the long incentive and reload feture of executive stock option are included. The pricing formula of the new option and the simulation analysis of it are discussed.

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傅强,郜琳琳.具有上下障碍的再装期权定价模型与计算[J].重庆大学学报,2007,30(4):144~147152

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  • Received:
  • Revised:December 29,2006
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