基于实物期权的风险企业价值评估研究

【作者】 张海玉；

【导师】 游达明；

【作者基本信息】 中南大学 ， 技术经济及管理， 2006， 硕士

【摘要】 风险企业的价值评估是风险投资的关键环节，但风险企业不同于传统企业的价值特征使得传统的企业价值评估方法在应用过程中出现了局限性，从而使风险企业的价值评估问题成为制约风险投资事业发展的一个亟待解决的问题，本文的研究目的就是解决风险企业的价值评估问题。针对风险企业不同于传统企业的价值特征，作者从企业能力价值论出发，分析了风险企业的价值构成特点，并将实物期权法与传统的企业价值评估方法相结合应用到风险企业的价值评估中来。文章首先对风险企业中所包含的实物期权进行识别并对它们之间的关联性进行分析，并得出分析结论，即对于风险企业中实物期权的价值我们只需考虑退出期权和一个多阶段的复合增长期权，并且这两个期权的价值具有可加性；然后，文章引入分解法的基本思想解决了风险企业的实物期权定价中基础资产不可交易的问题，构建了退出期权和多阶段复合增长期权的定价模型，并运用计算机模拟方法解决模型的求解问题；其次，文章通过一个案例展示了前面所构建的风险企业价值评估方法的应用过程，并且针对风险企业参数不易确定的问题，运用计算机模拟出不同参数取值情况下的实物期权的价值；最后，文章通过将实物期权法和NPV法两种方法下所求得的风险企业的价值进行比较，分析了两种评估方法的异同和优缺点，证明了文章所构建的价值评估方法的优越性，为风险企业的价值评估问题的解决提供了思路。更多还原

【Abstract】 The evaluation of venture business is the key of venture capital. Butthe different value character of venture business with conventionalenterprise makes that the application of conventional enterprise appraisalmethod is limited. So the evaluation of venture business becomes aproblem to be solved that restricts the development of venture capital.The goal of this paper is to solve the problem.Aiming at the different value character of venture business withconventional enterprise, and the author analyzed the value formcharacteristic of venture business with enterprise capability value theory,then the conventional enterprise appraisal method and the real optionappraisal method were combined to value the worth of venture business.The article first recognized real options in venture business and analyzedthe relevance of them, and arrival at a conclusion that for the value ofreal option in venture business, we just need to calculate the value ofexit option and multi-stage growth option, and the value of the twooptions can add direct. Then the article introduced decompositionmethod to solve the non-tradable character of its underlying asset forreal option pricing, created pricing models of exit option and multi-stagegrowth option and adopted computer simulation method to solve the realoption-pricing model. At last, the paper showed the application process of the method put forward above through a case, and gained the worth ofreal option with different parameter by computer simulation, and solvedthe problem that the parameter of venture business is hard to ascertain.The paper also compared the value of venture business gained by thepaper with NPV method, and analyzed similarities and differences andrelative merits of the two methods, thereby proved the superiority of themethod put forward by the paper, providing a way for the evaluation ofventure business.更多还原