实物期权定价法在林业上市公司价值评估中的应用  

Application of Real Option Pricing Method in Valuation of Forestry Listed Companies

作　　者：张开玄 王思博[2] 

机构地区：[1]陕西师范大学西北历史环境与经济社会发展研究院,西安710062 [2]中国社会科学院研究生院农村发展系,北京102488

出　　处：《林业经济问题》2017年第1期87-92,共6页Issues of Forestry Economics

摘　　要：通过分析实物期权定价法在企业价值评估方面的特点,最终选取B-S期权定价模型对林业上市企业进行价值评估。借鉴并修正传统的B-S期权定价模型,利用修正后的模型对6家林业上市公司进行价值评估。进而通过与市场价值对比、敏感性分析等方法对评估结果进一步验证。结果显示,企业的市场价值围绕评估价值上下波动,且评估结果对参数的变化不敏感,修正后的B-S期权定价模型对林业上市公司的评估结果具有客观性和稳定性。Background Forestry industry has both economic value and ecological value,it plays an important role in promoting economic development,protecting environment,conserving soil and water,etc.Since the 21 st century,the global ecological problems become progressively worse,which seriously affect the socio-economic development and people's life.As the result,environmental issues become the focus of attention.Forest resources as the core and foundation of the ecosystem must be well developed and reasonable protection.In modern investment theory,the value of opportunity is more and more important.The traditional cash flow discount model has no consideration of the value of opportunity.Therefore,it's often underestimate the enterprise value in the highspeed growth.So the scientific assessment of forestry listed companies' value was helpful to us to know the accurate information about intrinsic value and development potential.Meanwhile,reasonable price in forestry industry based on real option pricing method would be conducive to resolve the financial problem,when the industry developing.Therefore,it had an important practical significance in improving the model of evaluating forestry industries' value.Methods This paper evaluated 6 forestry listed companies which are listed in Shanghai Stock Exchange and Shenzhen Stock Exchange by B-S option pricing model with the correction.The realistic economic and social environment is difficult to meet the assumption of B-S option pricing model.Therefore,the B-S option pricing model is modified according to the Merton option theory.The revised pricing model takes into account the impact of the stock dividend on the option value,reducing the possibility of overriding call options.The model results are more real and effective.Results Comparing the valuation and market value of forestry listed companies in Shanghai and Shenzhen Stock Exchange,we found that:the range of valuation was smaller than market value exhibited a characteristic as steadily; the market value hovered around the va

关 键 词：实物期权定价法 B-S期权定价模型 企业价值评估 

分 类 号：F326.25[经济管理—产业经济]