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Real option valuation methods – Black–Scholes models

Author

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  • Zofia Wilimowska
  • Małgorzata Łukaniuk

Abstract

W artykule omówiono modele wyceny opcji finansowych i opcji rzeczowych. Zwrócono uwagę na analogie i różnice w tych opcjach. Miarą zmienności ceny akcji w modelu Blacka–Scholesa jest odchylenie standardowe stopy zwrotu z akcji, mierzone w skali jednego roku. Model Blacka–Scholesa zakłada, że zmienność jest stała w czasie. W artykule zwrócono uwagę, że zmienność cen akcji spółek notowanych na WGPW znacznie zmienia się w czasie, dlatego wyceniając opcje rzeczowe w procesie wyceny wartości spółki, należy brać pod uwagę dane z krótkich okresów czasowych, np. ceny zamknięcia dla danych dziennych z ostatnich 90–180 dni, aby zachować założenia modelu. Przedstawiono również modele oparte na modelu Blacka–Scholesa, odchodzące od pewnych założeń przyjmowanych w tym modelu – uogólnienia modelu Blacka–Scholesa.

Suggested Citation

  • Zofia Wilimowska & Małgorzata Łukaniuk, 2005. "Real option valuation methods – Black–Scholes models," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 15(1), pages 85-95.
    • Handle: RePEc:wut:journl:v:1:y:2005:p:85-95
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    References listed on IDEAS

    as
    1. Pindyck, Robert S, 1991. "Irreversibility, Uncertainty, and Investment," Journal of Economic Literature, American Economic Association, vol. 29(3), pages 1110-1148, September.
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