Ocenění projektu s více rizikovými faktory aplikací metodologie reálných opcí

Abstract

The aim of this thesis is the valuation of an investment project by application of real options methodology with the existence of two risk factors that affect the cash flow of the project. The thesis is divided into five separate chapters, where the first chapter is the introduction and the fifth chapter is the conclusion. The second chapter describes the basic types of financial options, factors influencing the price of options, internal value, time value and profit resulting from options. Part of the second chapter is also the basic definition of real options, types of real options and factors influencing the price of real options. The last part of this chapter is a definition of models used to evaluate options, their basic distribution and detailed description of selected models, which are further used in the practical part of the thesis. The third chapter defines the input parameters for project valuation, includes a brief description of the company and the investment project. The fourth chapter is a practical part of this thesis and consists of calculations related to project valuation. Calculations are divided for variant with correlation of random variables and for variant without correlation. The fourth chapter includes the calculation of the prediction of the development of random variables, the calculation of risk-neutral probabilities, the calculation of cash flows generated for individual development scenarios. In the next part of this chapter, the project itself is evaluated. The valuation is first carried out for a project without an option, and the project options with one option are individually valued, and the project with an option portfolio is evaluated at the end. The last part of the fourth chapter is the sensitivity analysis, which examines the dependence of flexibility on the correlation coefficient changes.