Ocenění investičního projektu v potravinářském odvětví na bázi metodologie reálných opcí

Abstract

The aim of this work is to perform the valuation of machinery for the production of gluten-free croissants using real options for expansion, narrowing, temporary interruption and premature termination of production, including the use of these options portfolio. First, the company and purchased capital equipment are introduced. This is followed by determining the input parameters. On the basis of the collected data, a passive approach is applied first. This means that there are not require active interventions into the already implemented projects and the value of flexibility is zero. Subsequently, an active strategy is introduced, where the flexibility is taken into account. The valuation is determined by using a binomial model for multiple periods based on replication strategy. The net present value of the project and the option price is detected for different types of options and their portfolio. The valuation is first made for the European-style option that can be applied only at the beginning of the fifth year life of the investment. Subsequently the valuation is done for the American type option allowing earlier application, since the beginning of the second year. For both types of options, the project value is maximized when the applied portfolio of real options is used for extension and early termination. Conversely option for temporary interruption of production is not used. In conclusion, this work presents a comprehensive evaluation of the results, as well as sensitivity analysis of the project value and the price of the option to change the selected parameters.