期权定价模型应用于计算缺少流动性折扣率的研究  

Option Pricing Models are Used in the Study of Calculating Illiquidity Discounts

作　　者：李昌义 陈欣伟 万新亚 盛锐 Li Changyi;Chen Xinwei;Wan Xinya;Sheng Rui

机构地区：[1]北京亚太联华资产评估有限公司,北京100044

出　　处：《中国资产评估》2023年第6期46-55,共10页Appraisal Journal of China

基　　金：2021-2022年资产评估行业青年研究项目“期权定价模型应用于计算流通性折扣率研究”。

摘　　要：资产评估专业人员在执业过程中,运用主流的方法计算缺少流动性折扣率经常遇到诸如:可采用的行业研究报告较少,境外项目缺少专业机构统计数据,不同评估机构、企业不同年份、企业不同发展阶段取值差异较大等情况。我们从执业过程中遇到的实际问题出发,分析期权定价模型在解决非上市公司股权流动性折扣问题的适用性和优势,对缺少流动性折扣率的研究具有重要的实践意义。同时,通过统计学的手段确定了缺少流动性折扣率中参数的科学取值范围,建设性地提出了运用情景分析的方式确定缺少流动性折扣率的取值。In the practice of asset valuation,professionals often encounter situations such as fewer industry research reports that can be used,lack of statistical data of professional institutions for overseas projects,and large differences in values between different appraisal institutions,different years,and different development stages of enterprises.Based on the practical problems encountered in the practice,we analyzed the applicability and advantages of option pricing model in addressing illiquidity discounts for non-listed company equity,which has important practical significance for the study of illiquidity discounts.At the same time,we use statistical methods to determine the scientific range of parameters for illiquidity discounts and propose a constructive way to determine the value of illiquidity discounts usinga scenario analysis.

关 键 词：缺少流动性折扣率 期权定价模型 正态分布 情景分析 

分 类 号：F270[经济管理—企业管理] F832.5[经济管理—国民经济]