Ocenění společnosti na bázi metodologie reálných opcí

Abstract

The main goal of this thesis is to valuate the Callidus trading company using the metodology of real options.

The first chapter introduces the main set of domain terms and describes the main types of financial options including the influencing factors. The end of this chapter is devoted to explanation of difference between financial and real options and utilization of real options used nowadays.

The third chapter describes particular methods for real options evaluation. Then the two main methods (binomial and trinomial model) are explained in detail. The continuous Black-Scholes model is further introduced and the end of the chapter outlines the convergence of binomial to Black-Scholes model.

The penultimate chapter is focused on practical valuation of Callidus trading, Co. company. First the input parameters estimated. Then the company's capital is incrementally valuated using the binomial and trinomial valuation model without flexibility and with flexibility. The achieved results are then used for analysis of sensitivity which examines changes of equity value based on the changes of input parameters.

The last chapter compares the values of equity obtained by using the particular models and analysis of sensitivity.