Оценка эффективности перекрёстного финансирования компаний на основе метода реальных опционов

Вестник Санкт-Петербургского университета. Серия 5. Экономика. 2009. № 2. С. 112–120.

Вавилов С. А., Ермоленко К. Ю., Сидорова П. А.

The main result achieved in this research to be considered is the new valuation methodology having been derived in the real options' framework. The new model allows to estimate the additional effect given to the independent companies by their co-financing, the real options' approach having been applied. Thus, the new methodology is based on the newly derived formula Ito for several independent Wiener processes. In this article the valuation results achieved by the new methodology having been implemented are compared with the ones recieved by the conventional income approach. Here some basic distinctions of the model should be hilighted:

The comanies of interest are to be independent, i.e. none of them should get any economic effect from the free cash flow of that of the others.

The companies of interest are to be public corporations with their shares being characterised by a high liquidity level, in order to be able to become a good approximation for the Weiner process.

The newly developed IT solution, based on the model having been proposed, is in charge of the Higher School of Management of the St. Petersburg University and is taught under the 'Financial management' Masters' programme.

Keywords: реальные опционы, экономическая эффективность, income approach, доходный подход, real options, economic efficiency, формула Ито, Ito's formula, Weiner process, Винеровский процесс