【摘要】 近年来 ,将期权定价理论应用于公司价值评估得到了人们广泛的重视 ,但应用这种方法必须首先估计公司价值VA 的波动率σA,而σA 的估计是非常困难的。KMV提出了以两个方程解两个未知数VA 和σA ,为期权定价理论应用于公司价值评估提供了新的思路和框架。介绍了KMV模型 ,并且利用我国信用研究领域的最新成果在中国股市做出实证研究。更多还原

【Abstract】 The method that uses option pricing theory to apply to corporate asset valuation has been widely noticed in recently years. But the volatility of V A, ie, the σ A, has to be estimated first, which is very difficulty. KMV Model uses two functions to find the two unknowns: V A and σ A. It proposes a new way of thinking and a framework in corporate asset valuation by means of option pricing theory. This paper reviews KMV Model and uses the most recent research result on credit to evaluate corporate asset of a listed company of China.更多还原