A Model of Option Pricing When Calculating Size of Net Assets

Abstract

In the conditions of uncertainty various options of cash flows can be realized and, respectively, different estimates of efficiency are received that complicates process of justification of strategic administrative decisions. The solution can be reached by a combination of methods of discounting of cash flows and real options.

Article purpose ― identification of features of quantitative assessment of real and net assets of firm with use of model of option pricing are revealed. Methods of discounting of cash flows, real options, assessment of subjects to real investment and net assets are used. Novelty of article is formalization of process of assessment of net assets and the expected effect of process of acquisition and realization of real assets with use of real options, on the basis of a combination of methods of discounting of cash flows and real options. 

In article IFRS and the Russian experience of accounting of cost of real and net assets of firm with use in the reporting of a method of discounting of cash flows, recommendations about increase in efficiency management of accounting risks and insurance of subjects to real investment by means of use of real options and additional opportunities which are contained in processes of investment of real assets are offered. Formulas of assessment of efficiency of a real assetinnovation and of the expected net discounted income from the corresponding net asset and from all net assets of firm in the conditions of risk and uncertainty with use of the real options which are built in them and accounting of cost of the related obligations are offered.

The received results have shown that objective calculation and accounting of cost of real options for subjects to real investment and quantitative assessment of real and net assets are important instruments of increase in efficiency of formation of the investment portfolio of firm, are key at adoption of the strategic investment decision.