本研究之目標在於構築離散型重設員工選擇權之評價模型，以Black-Scholes選擇權評價模型作為基礎，並使用回溯積分法搭配格林函數(Green’s function)之積分表現式，將其轉為一系列之初始值問題，能有效求得員工選擇權於各重設點之理論價格。文中亦考量不同標的股價、波動率、無風險利率、重設比率等因素，將結果繪製成圖表，並提出合理之詮釋。

The purpose of this study is building a valuation model of discrete resetting employee stock option. Based on the Black-Scholes model, this paper uses backtracking integration with integral representation of Green's function, to convert it into several initial value problems. It can provide us the employee stock option's accurate prices on each resetting points. This study also considers different factories like different underlying stock price, volatility, risk-free rate, or resetting rate, etc. We graph these and provide some reasonable interpretations.

摘要 I
ABSTRACT III
目錄 V
表目錄 VII
圖目錄 IX
第一章 前言 1
第一節 研究背景與目的 1
第二節 研究架構 3
第二章 文獻探討 5
第一節 員工選擇權相關文獻 5
第二節 員工選擇權評價相關文獻 5
第三章 數值方法 7
第一節 員工選擇權之契約條件 7
第二節 以積分表現式評價離散型重設員工選擇權 8
第四章 數值例 11
第一節 離散型重設員工選擇權之評價 12
第二節 敏感度分析 14
第五章 結論 25
參考文獻 27

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