Stanovení flexibilní hodnoty strojírenské společnosti

Abstract

The thesis topic is the application of real options methodology in valuation of a company. The aim is to determine the value of equity of an engineering company and analyze the value of active intervention by selected types of options with varying volatility and risk-free rate. The thesis is divided into theoretical and practical part. Theoretical part explains the methodology of real options and provides definitions of financial and real options including their typology. This section also describes the methods by which the value of options can be determined. In the practical part a company OSTROJ a.s. is introduced and briefly analyzed using the theoretical knowledge clarified above. For pricing the replication strategy of binomial pricing model based on a risk-neutral approach is used. The capital is valued by active and passive strategies and the value of flexibility is determined for five operational interventions. The conclusion of the thesis is devoted to the evaluation of the results.