英文标题：
《The Theoretical Price of a Share-Based Payment with Performance
Conditions and Implications for the Current Accounting Standards》
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作者：
Masahiro Fujimoto
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最新提交年份：
2018
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英文摘要：
Although the growth of share-based payments with performance conditions (hereafter, SPPC) is prominent today, the theoretical price of SPPC has not been sufficiently studied. Reflecting such a situation, the current accounting standards for share-based payments issued in 2004 have had many problems. This paper develops a theoretical SPPC price model with a framework for a marginal utility-based price, which previous studies proposed is the price of contingent claims in an incomplete market. This paper\'s contribution is fivefold. First, we restricted the stochastic process to a certain class to demonstrate how to consistently change all variables\' probability distributions, which affect the SPPC payoff. Second, we explicitly indicated not only the stochastic processes of the stock price process and performance variables under the changed probability, but also how the changes in the performance variables\' drift coefficients related to stock betas. Third, we proposed a convenient model in application that uses only a few parameters. Fourth, we provided a method to estimate the parameters and improve the estimation of both the price and parameters. Fifth, we illustrated the problems in current accounting standards and indicated how the theoretical price model can significantly improve them.
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中文摘要：
尽管有业绩条件的股份支付（以下简称SPPC）的增长在今天十分突出，但SPPC的理论价格尚未得到充分研究。2004年颁布的现行股份支付会计准则反映了这种情况，存在许多问题。本文建立了一个理论上的SPPC价格模型，该模型的框架是基于边际效用的价格，之前的研究提出的价格是不完全市场中的未定权益价格。本文的贡献是五倍。首先，我们将随机过程限制在某一类，以演示如何一致地改变所有变量的概率分布，从而影响SPPC的收益。其次，我们明确指出了股票价格过程和绩效变量在概率变化下的随机过程，以及绩效变量漂移系数的变化与股票beta的关系。第三，我们在应用中提出了一个只使用少量参数的方便模型。第四，我们提供了一种估计参数的方法，并改进了价格和参数的估计。第五，我们阐述了现行会计准则中存在的问题，并指出了理论价格模型如何能够显著改善这些问题。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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