Ocenění společnosti za rizika a flexibility

Abstract

The aim of this master’s thesis is to value the company XYZ considering risk and flexibility using the real options methodology. The valuation is carried out as of January 1, 2026. The thesis is divided into five chapters. The first chapter provides an introduction, while the final chapter presents the conclusion. The second chapter focuses on the description of the real options methodology, which forms the basis for the company valuation. It begins with an overview of financial options, including their classification, factors influencing their price, and basic option positions. Subsequently, real options are characterized, along with the factors affecting their value and their main types. Furthermore, valuation models are described, and finally, the procedure for valuating a company using the real options methodology is outlined. The third chapter introduces the company being valued, including its business focus and history. At the end of the chapter, an analysis of the company’s revenues and net income for the period 2015–2024 is conducted. The fourth chapter represents the core part of the thesis, in which the company is valued considering risk and flexibility under three different scenarios. The first scenario assumes a constant level of volatility of free cash flows to the firm (FCFF), which are treated as a stochastic variable. The second scenario assumes a sudden increase in FCFF volatility in 2029, while the third scenario considers a sudden decrease in volatility in the same year. The scenarios involving changes in FCFF volatility are divided into two parts. First, the input parameters required for the valuation are determined, namely historical FCFF, the weighted average cost of capital, and projected values of debt in the future. Subsequently, FCFF are forecasted, along with the development of the underlying asset and the intrinsic value of the option. Risk-neutral probabilities are then calculated. Finally, the company’s equity is valued as both a European and an American option in all three scenarios, followed by a sensitivity analysis.