Valuation Method of Equity Incentives of Listed Companies Based on the Black-Scholes Model

Int. J. Inf. Syst. Serv. Sect. Pub Date : 2020-04-01 DOI:10.4018/ijisss.2020040103

Zhongwen Liu, Yifei Chen

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Abstract

ThisarticleappliestheclassicBlack-Scholesmodel(i.e.B-Smodel)andturnoverrateadaptedB-S model(revisedB-Smodel)toequityincentivevaluationoflistedcompanies.Unlikeotherstudieson equityincentivevaluationwhichgenerallyadopthistoricalvolatility,thisarticleappliestheGARCH modeltoequityincentivevaluation.ThevolatilityofstockpriceisestimatedbytheGARCHmodel toimprovetheaccuracyofequityincentivevaluation.Theturnoverratehasanimportantimpacton theequityincentivevaluationoflistedcompanies.Consideringtheturnoverratecanimprovethe accuracyoftheequityincentivevaluationandreducetheerrorofequityincentivevaluation.Through thecasestudyoftheequityincentivevaluationofInfinova,thepracticalityoftheequityincentive valuationmethodisfurtherverified. KEywoRdS B-S model, Equity Incentive, GARCH Model, Listed Companies, Turnover Rate

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基于Black-Scholes模型的上市公司股权激励评估方法

ThisarticleappliestheclassicBlack-Scholesmodel(i.e.B-Smodel)andturnoverrateadaptedB-S model_ (revisedB-Smodel)toequityincentivevaluationoflistedcompanies。Unlikeotherstudieson equityincentivevaluationwhichgenerallyadopthistoricalvolatility，thisarticleappliestheGARCH modeltoequityincentivevaluation。ThevolatilityofstockpriceisestimatedbytheGARCHmodel toimprovetheaccuracyofequityincentivevaluation。Theturnoverratehasanimportantimpacton theequityincentivevaluationoflistedcompanies。Consideringtheturnoverratecanimprovethe accuracyoftheequityincentivevaluationandreducetheerrorofequityincentivevaluation。Through thecasestudyoftheequityincentivevaluationofInfinova，thepracticalityoftheequityincentive valuationmethodisfurtherverified。关键词:B-S模型，股权激励，GARCH模型，上市公司，离职率

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Int. J. Inf. Syst. Serv. Sect.

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