Estimation of Efficiency of Companies Cross-financing with the Real Options Method

Authors

  • Сергей Анатольевич Вавилов St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation https://orcid.org/0000-0002-6224-5279
  • Константин Юрьевич Ермоленко St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation https://orcid.org/0000-0001-7610-623X
  • Полина Александровна Сидорова Investment Company Energocapital

Abstract

The model of business evaluation based on the option approach is considered in the article. Models of option pricings intended for rgumentation of choice among alternatives of the company development have received rather wide extension abroad. At the same time, they are rarely used in the Russian business evaluation practice. This fact is caused by poor quality of decision-making process affected, on the one hand, by misunderstanding of the basic idea of the mentioned approach, and on another, by complexity of mathematical techniques used in the models development. One of the most important questions of the real options theory is one connected with the estimation of efficiency of cross-financing companies within the holding structure.

Keywords:

Options, real options, cross-financing, management decisions, fundamental value, Wiener process, Black-Scholes formula

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Author Biographies

Сергей Анатольевич Вавилов, St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation

доктор экономических наук, профессор, заведующий кафедрой экономики исследований и разработок

Константин Юрьевич Ермоленко, St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation

кандидат экономических наук, доцент

Полина Александровна Сидорова, Investment Company Energocapital

аналитик

References

Литература на русском языке

Вавилов С. А., Ермоленко К. Ю. Об одном подходе к проблеме непараметрического оценивания в статистике случайных процессов на основе метода некорректной задачи // Записки научных семинаров ПОМИ. 2007. Т. 351. С. 117–128.

Коупленд Т., Коллер Т., Муррин Дж.Стоимость компании: оценка и управление: 3-е изд. М., 2005. С. 32.

Рид С. Ф., Рид Л. А. Искусство слияний и поглощений. Пер. с англ.: 3-е изд. М., 2007. С. 157.


References in Latin Alphabet

Black F., Scholes M. The pricing of options and corporate liabilities // Journal of Political Economy. 1973. Vol. 81. N 3. P. 637–654.

Black F., Scholes M. The pricing of options and corporate liabilities // Journal of Political Economy. 1973. Vol. 81. N 3. P. 637–654.

Brennan M. J., Schwartz E. S. Evaluating Natural Resource Investments // Journal of Business. 1985. Vol. 58. Issue 2. P. 135–157.

Dixit A. K., Pindyck R. S. Investment under uncertainty. Princeton University Press, Princeton, New Jersey, 1994. 476 с.

Hull C. John Options, futures and other derivatives: 4 ed. Prentice-Hall, Inc. New Jersey, 2000. 816 с.

Hull C. John Options, futures and other derivatives: 4 ed. Prentice-Hall, New Jersey, 2000. 816 с.


Translation of references in Russian into English

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Published

2009-06-30

How to Cite

Вавилов, С. А., Ермоленко, К. Ю., & Сидорова, П. А. (2009). Estimation of Efficiency of Companies Cross-financing with the Real Options Method. St Petersburg University Journal of Economic Studies, (2), 112–120. Retrieved from https://economicsjournal.spbu.ru/article/view/3342

Issue

No. 2 (2009)

Section

Mathematical models in economics

License

Articles of the St Petersburg University Journal of Economic Studies are open access distributed under the terms of the License Agreement with Saint Petersburg State University, which permits to the authors unrestricted distribution and self-archiving free of charge.