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研究生:索樂晴
研究生(外文):Leh-chyan So
論文名稱:財務金融研究
論文名稱(外文):Essays in Finance
指導教授:洪茂蔚洪茂蔚引用關係
學位類別:博士
校院名稱:國立臺灣大學
系所名稱:國際企業學研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
畢業學年度:92
語文別:英文
論文頁數:112
中文關鍵詞:員工認股選擇權投資分析財務交換選擇權模糊趨避
外文關鍵詞:exchange optionsambiguity aversionemployee stock optionsfinanceinvestment analysis
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七零年代初期發展出來的Black-Scholes 定價公式,迄今仍為學術界及實務界廣泛使用的選擇權評價公式。根據其過於簡化的假設所推導出的結果,即便在公式的簡潔度及應用的便利性上滿足大多數的使用者,然而,就學術研究的角度,我們仍不免感興趣於如何修正Black-Scholes 定價公式,以期保留Black-Scholes 定價公式精簡的原樣精神之餘,亦更加貼近我們接觸的真實世界。本論文的兩個部分,乃分別就不同的適用情況,提供修正後的Black-Scholes 定價公式,並根據修正後的評價公式,進一步進行投資人投資行為的分析研究。
論文的第一個部分是研究模糊趨避的程度如何影響員工對員工股票選擇權的主觀評價及執行。本篇文章的做法是從效用極大化的角度出發,將所謂的懲罰函數加入一般傳統的效用函數中以捕捉員工的模糊趨避程度,並利用導出的價值函數計算出員工股票選擇權的主觀價格。我們指出的模糊趨避程度會影響員工對員工股票選擇權的主觀評價及執行,可以為未來的實證研究開另一扇窗。另外,文章中所提及的估價方法,可視為Black-Scholes 定價公式的調整,不僅可以幫助會計主管機關訂定更合理的員工股票選擇權的價值揭露公式,更可以協助公司更正確的衡量股票選擇權帶來的誘因效果及針對公司內部不同階級的員工量身訂做適合的選擇權政策。
而論文的第二個部分則導出以非貿易財為標的的交換選擇權的評價公式封閉解。在實質選擇權的文獻中,交換選擇權評價概念經常被類比應用於評估製造業是否值得易地設廠投資、房地產行業是否應該換屋操作…等等。然而,因為此種交換選擇權的標的往往為非貿易財,不具市場價值,因此使用傳統上評估金融資產的Black-Scholes 定價公式在此處並不適宜。此外,受限於無適當的評價公式,傳統文獻處理此類以非貿易財為標的的交換選擇權所引伸出的最適資產組合問題及避險操作策略也遭遇相當大的困難。而本文最大的貢獻是導出簡潔的評價公式封閉解之外,還提供了投資人持有此類交換選擇權的最適避險部位建議。
It goes without saying that the Black-Scholes pricing formula has enjoyed an excellent reputation both theoretically and practically since introduced in the early 1970s. Even though the pricing formula is neat and user-friendly, such over-simplified assumptions behind it may be the only drawback. From our perspective, the Black-Scholes pricing formula has to be somewhat modified when applied to the reality. We consider different situations in the two parts of the thesis, and provide proper pricing formulas. Taking the option price as given, we further analyze the investment behavior of the investor.
The purpose of the first part is to investigate the effect of ambiguity aversion on the employees’ subjective valuations and exercises of employee stock options. We depict model uncertainty through a set of priors, and introduce the penalty function to a general utility function in order to capture investors’ uncertainty aversion. Based on the value function, we then derive the employee’s subjective value of the stock option. Our model successfully distinguishes and explains the different behaviors of evaluating and exercising stock options of employees at different levels of the same company. Our findings contribute to precise evaluation of stock options for the FASB, to gauge of incentives that stock options really produce, and to tailor-made option grant policies, both theoretically and practically.
A pricing formula for exchange options on nontraded assets in closed form is discussed in the second part of the thesis. Whether it is worth switching one property for another is a regular concern for a real estate investment trust manager. Moreover, company managers are often faced with options to switch production between different locations, depending on variables such as wage, consumption demand, and taxes. The parallel concepts of exchange options aid in explaining a lot of perplexing issues in this field. Although Margrabe (1978) derived a well-known pricing formula out of the Black-Scholes formula for exchange options, it may be inappropriate to adopt Margrabe’s pricing formula to evaluate this kind of exchange option because the underlying assets are often not financial assets, but nontraded assets. Besides the problem of pricing exchange options with nontraded underlying assets, conventional finance literature may encounter great difficulties in addressing portfolio problems and hedging for the nontraded securities. The purpose of the second part is to price exchange options with nontraded underlying assets and to hedge with payoffs from nontraded assets.
1 Introduction 1
2 Ambiguity Aversion and Employee Stock Options 4
2.1 Abstract……………………………………………………… 4
2.2 Introduction………………………………………………… 4
2.3 Model………………………………………………………… 12
2.4 Results of Calibration……………………………………23
2.4.1 Subjective values of the stock option………23
2.4.2 Effectiveness of equity incentive……………30
2.4.3 Effectiveness of risk-taking incentive…… 36
2.4.4 Values of the stock option when early
exercise is considered………………………… 45
2.5 Conclusion……………………………………………………58
3 Valuation and Hedging Strategies of Exchange Options on
Nontraded Assets 61
3.1 Abstract……………………………………………………… 61
3.2 Introduction…………………………………………………62
3.3 Exchange option pricing formulas………………………64
3.3.1 Basic setting………………………………………64
3.3.2 Special case……………………………………… 66
3.3.3 General case……………………………………… 67
3.4 Hedging strategies…………………………………………70
3.4.1 Basic setting………………………………………70
3.4.2 Special case……………………………………… 71
3.4.3 General case……………………………………… 73
3.5 Numerical Examples…………………………………………76
3.6 Conclusion……………………………………………………84
4 Conclusion 86
Appendix 88
References 106
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