基于实物期权对吉利收购沃尔沃的价值评估

发布时间：2018-02-27 08:53

本文关键词： 现金流折现法实物期权企业评估　出处：《华南理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：在现在经济全球化的背景下，企业的扩张和再投资的需求越来越强烈，而当企业在对于未来不确定性的的投资进行决策分析的时候，，实物期权成为一项创新的实用性工具。它对于在企业并购的战略投资评估目标企业的价值具有重大的现实意义。本文首先对国内外的实物期权和并购价值研究现状进行分析，由于传统的价值评估方法的局限性，引入了实物期权的概念。同时介绍了实物期权的一些基本理论和最常用的两个实物期权模型，Black-Scholes期权定价模型和二叉树模型。然后对于在不确定情况下基于企业并购价值实物期权定价和价值构成进行进一步探讨。并使用案例进行实证分析，对吉利收购沃尔沃案例进行研究，包括收购背景，期权战略分析和财务数据分析。最后，由于并购中的目标企业存在较大不确定性，净现值为负值，因此不适用于传统方法进行评估。本文基于扩展的ENPV，使用了Black-Scholes期权定价模型和二叉树模型对基于不确定情况下的对吉利收购沃尔沃并购案例价值进行评估，计算了目标企业的市场价值，同时证实了实物期权的有效性和可操作性。
[Abstract]:Under the background of economic globalization, the demand for expansion and reinvestment of enterprises becomes more and more intense. Real option has become an innovative practical tool, which is of great practical significance for strategic investment evaluation of target enterprises in mergers and acquisitions. This paper first analyzes the current situation of real options and M & A value research at home and abroad, because of the limitations of traditional valuation methods. This paper introduces the concept of real option and introduces some basic theories of real option and two most commonly used real option models Black-Scholes option pricing model and binary tree model. Then it makes a further study on the pricing and value composition of real options based on the value of M & A under uncertain circumstances. The case study of Geely's acquisition of Volvo, including the background of the acquisition, is carried out. Option strategy analysis and financial data analysis. Finally, due to the uncertainty of the target enterprises in M & A, the net present value is negative. Therefore, it is not suitable for traditional evaluation. Based on the extended ENPV, this paper uses Black-Scholes option pricing model and binary tree model to evaluate the value of Geely's acquisition of Volvo based on uncertainty. The market value of the target firm is calculated, and the validity and operability of the real option are verified.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F271;F426.471

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