The Incentive Idiosyncrasy of the Comparative-Performance-Option and its Incentive Effect to Managers

摘要

The sensitivity of the option value to stock price (delta) and the sensitivity of the option value to stock return volatility (vega) are selected as the analysis parameters of executive stock option. Delta increases with stock price rising and vega decreases with stock return volatility rising. By contrast with the traditional executive stock option, the delta of the comparative-performance-option is large and the vega of the comparative-performance-option is small. The delta of the comparative-performance-option is smaller as the scheduled time is longer.The comparative-performance-option can incentive executive to work hard and restrain executive to gamble is proved , and the limitation of the comparative-performance-option is discussed.