Aplikace metodologie reálných opcí při ocenění projektu

Abstract

The diploma thesis is focused on a project valuation with embedded portfolio of real options by applying real option methodology and on the criterion of traditional Net Present Value (NPV). Portfolio includes selected types of European-type options: option to expand, contract a project, option to shut down and restart a project and option to abandon a project. Valuation is based on the simulation basis of 1000 scenarios. Primarily, the project is valued if no option is taken into account. Continue, selected real options in isolation are valued. Results are compared on the Value at Risk measure basis. In the end, results are compared and discussed.

The whole diploma thesis is divided into two parts, theoretical and practical.

The theoretical part contains description of the real options methodology, its basic characteristics and comparison with other methods for project valuation. Next, fundamentals and financial modelling is described and a great attention is focused on the description of Value at Risk method and its application. In the practical part, a manufacturing company is described on whose financial results the real options methodology was applied. We supposed that there are two random variables, which will be modelled as stochastic (price of Zinc and exchange rate CZK/USD). For their modelling geometric Brownian model is applied. For analysing of the real options impact on project value, criterions modus, median, standard devation, minimum and maximum of project are calculated; VaR and Expected Shortfall measures are used. Results are graphically presented and commented.