基于成长期权的企业价值评估模型  

A Firm Valuation Model Based on Growth Options

作　　者：齐安甜 张维 

机构地区：[1]广发证券,广州510075

出　　处：《管理工程学报》2003年第1期65-69,共5页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金项目 (79970 0 3 9)

摘　　要：本文针对传统评价方法在企业价值评估中的不足 ,从一个全新的视角 ,引入了基于成长期权的企业价值评估模型 ,弥补了折现现金流法在面对企业经营灵活性时的固有缺陷。利用期权定价公式对具有单一成长期权的企业进行了估价 ,并针对具有序列成长期权的企业价值应用MenteCarlo模拟方法进行了一些初步的研究。In this paper, aiming at the existing problems that those traditional Firm valuation methods face with, a new model based on growth options is put forward, as a remedy of the Discounted Cash Flow Method when it treats the operation flexibility. Moreover, using Black-Scholes formula, it values a firm with single growth option, and when a firm has sequential growth options, this paper gives a primary probe by Mente Carlo simulation to value it.

关 键 词：企业价值评估 评估模型 成长期权 实物期权 

分 类 号：F270[经济管理—企业管理]