企业并购投资中二叉树模型与仿真计算分析  

Research on a Binomial Tree Model and Digital Simulation of M & A

作　　者：孟力[1] 王崇喜[1] 

机构地区：[1]沈阳工业大学管理学院,辽宁沈阳110023

出　　处：《武汉理工大学学报（信息与管理工程版）》2004年第1期116-119,共4页Journal of Wuhan University of Technology：Information & Management Engineering

基　　金：国家自然科学基金资助项目(60084003);辽宁省教育厅重大软科学基金资助项目(20144323).

摘　　要：企业并购是一种高风险的投资项目,在签约日和正式收购日之间,目标公司的股价波动往往很大,因此并购风险也较大,对此可以在并购合约中添加保证价格底线的条款,这样既保留了目标公司股价上升的收益,又限制了收购公司的损失。通过利用二叉树期权定价方法和仿真数值计算软件,模拟计算出了这项保证协议的价值,从而使得并购风险损失控制在一定的范围之内。Mergers and Acquisitions (M&A) is an investment project with high risk. The target company may experience a significant variety in stock prices during the period between the handshake agreement and the formal close of acquisition, thus it may magnify the venture of M&A. The authors highly suggest that a contract clause guaranteeing a price floor be added to the acquisition offer, so as to ensure that the acquiring firm can not only gain the returns when stock prices rise but also avoid the risk when stock prices drop. The value of this contract clause is calculated and assessed by applying binomial tree model and digital simulation software. It is concluded that this will limit the risk of M&A to a certain degree.

关 键 词：企业并购 实物期权 二又树模型 

分 类 号：F235.2[经济管理—会计学]