Aplikace metodologie reálných opcí při ocenění vybraného podniku

Abstract

The aim of this diploma thesis is to evaluate the selected company using the real options methodology. The valuation is performed as of 1st January 2024. The thesis is divided into five key chapters. The first chapter serves as an introduction, while the final chapter summarize the key findings. The second chapter provides the theoretical foundation of the real options methodology. It begins by defining fundamental characteristics of financial options, including option pricing factors, intrinsic value, time value, and option positions. Subsequently, the relationship between financial and real options is explained, followed by an analysis of key value drivers and main types of real options. Next, the chapter examines option pricing models and concludes with a specification of the business valuation procedure using the real options methodology. The third chapter introduces the selected company. It presents basic information including business activities and key product characteristics, describes production facilities, and concludes with an analysis of revenue and net profit trends. The core of the thesis lies in the fourth chapter, which applies the real options methodology to the selected company. The initial section establishes the values of risky factors - Free Cash Flow to Firm (FCFF) and Weighted Average Cost of Capital (WACC) - along with their projected development. Subsequent calculations determine risk-neutral probabilities, underlying asset value, option intrinsic value, and resulting equity values for both correlated and uncorrelated scenarios of random variables. The chapter concludes with a sensitivity analysis examining the impact of volatility changes and correlation adjustments on equity value.