【作者】 陈玲；

【导师】 邹辉文；

【作者基本信息】 福州大学 ， 金融工程， 2016， 硕士

【摘要】 我国风险投资的发展历程表明:风险投资有利于我国的互联网技术、通讯技术等高科技向先进生产力的发展,随即产生了大量有竞争力的企业,根据相关数据统计,迄今为止,互联网行业仍然是最受风险投资机构青睐的行业之—。然而至今为止,对风险投资契约设计的研究已经很多,但是针对互联网企业的特点设计风险投资契约的研究较少,在构建风险投资契约模型之前,本文就契约条款中涉及到的未定权益进行分析,结合实物期权理论,主要从两个方面讨论未定权益:一是互联网企业在分段投资中由于对项目定价的不确定性产生的延迟期权;二是在契约设计的报酬条款中的互联网企业高管股票期权,这时候企业高.管的期权收益也是不确定的,会随着公司股价的变化而变化,因此本文构造了亚式指数化股票期权。本文运用委托-代理理论,针对互联网企业项目分段投资,设计了新的委托-代理模型,对新模型求解即互联网企业努力程度,同时数理推导得出影响努力程度的主要因素有5个,并在合理假设条件和设定参数数值的前提下,借助Matlab软件对数理推导结果进行了数值模拟分析。分析结果表明互联网企业高管的绩效分成比例、基础工资和他们的努力程度正相关;分阶段投资额比例和第一阶段高管努力程度负相关,和第二阶段高管努力程度是正相关;当存在高管股票期权收益时,股票期权占总股本比例和高管努力程度正相关;股票期权行权价格和高管努力程度负相关。依据分析结果设计互联网企业风险投资契约,并对互联网企业、风险投资机构及其监管部门、经济政策制定者提出相关的建议。最后本文选取个案一方面验证数理推导和数值模拟的结果,另一方面是对设计的契约做举例说明。更多还原

【Abstract】 The development of risk investment in our country indicates that risk investment is conducive to China’s Internet technology,according to the relevant statistics,the internet industry is still one of the most favored industries for the risk of investors.However,the researches on venture capital contract design for Internet companies are less.Before the establishment of venture capital contract model,this paper analysis the contingent claims related to contract terms.This paper discusses the contingent claim from two aspects about the real options.Delay options in the investment of the Internet by Internet companies due to the uncertainty of the evaluation of the project and internet enterprise executive stock options in terms of payment terms.This option income of executives is uncertain,it will change with the price of a company.This paper uses the principal-agent theory and designs incentive model and gives examples of terms for Internet companies staged investment.Solving model about internet companies’ degree of effort and analyzing the main factors which influence it.The numerical simulation analysis is carried out though Matlab.There are the results of the analysis.Base salary,performance sharing of Internet business executives and internet business executives efforts into the same trend change.Phased investment ratio and internet business executives efforts of stage 1 into the reverse trend,which is into the same trend in the stage 2.Share of the total share capital and internet business executives efforts into the same trend when there is an executive stock option.The exercise price of stock option and internet business executives efforts into the reverse trend.After empirical analysis of the solution of the model,this paper puts forward some relevant suggestions based on the results of the study to the internet companies,venture capital institutions and their regulatory authorities,economic policy makers.Finally,this paper selects the case to verify the mathematical derivation and numerical simulation results and make an example for the design of the contract.更多还原