Pricing Method Of The Real Option With A Non-tradable Asset

Since the 1970s, develop the option pricing theory to expand the discounted cash flow method based on the value of enterprises assessment methodologies. Option pricing theory from Myers began to be used and the non-financial sector and has demonstrated a strong application, formed a relatively mature real options theory framework. Real Options Pricing, as the traditional discounted cash flow method of adjustment making enterprises operating with the flexibility of the value can be reasonably assessed. Modern enterprises generally will face uncertainty, uncertainty as to demonstrate the negative risks, performance of the other positive values. Traditional discounted cash flow method, are often unable to correctly evaluate these uncertainties brought to the opportunity, Faced with uncertainty, the traditional way by setting a higher discount rate on the assessment objective valuation, often underestimate the goal has been appraised value of real options methods can exactly reflect uncertainty about the value.In the recent 20 years, real options method has been widely used in the modern enterprise value assessment. In this paper, the status of the research conducted a comprehensive understanding and analysis Although this method has been developed in China for more than 10 years, However, the pricing of real options for more from the financial option pricing methods By analyzing the current financial option pricing methods such as: traditional option pricing method, Black-Scholes option pricing method Binary Tree option pricing method, finite difference method, Monte Carlo simulation, uncertainty arbitrage, arbitrage pricing methods Interval pricing method and found the use of these pricing methods are common conditions, namely : its subject matter options fluctuations in the value of the law known. Physical assets and financial assets, the biggest difference is: fluctuations in the financial assets of its laws most market transactions can be settled through direct observation, and the physical assets are mostly non-tradable, therefore fluctuations in the value of the law will not be able to market directly observed. Options for the current value of either of its volatility assumption of regularity, the lack of value of their certification; or the use of non-arbitrage principle of balanced structure and project risks similar to the portfolio, Although various financial products has been very rich. However, in actual practice, we remain satisfied with the difficulty of obtaining a copy of the portfolio. It is not the physical assets transactions, and make real option pricing is very difficult. Therefore the study of the physical asset transactions option pricing methodology has great theoretical and practical significance.Based on non-listed enterprises as an example, the assessed value of the theoretical study, found fluctuations affect the value of non-listed enterprises, the expected cash flow and discount rate. As this process with random fluctuations in the future is expected to show cash flow fluctuations law have the cash flow to reflect the formula of non-listed non-system risk, the discount rate used risk-free rate of return. This paper from the expected future cash inflows hand, the value of its resolution, to find the value of the components, These factors for different values of enterprises is different, therefore calls on the external environmental factors and internal subjective factors - decision analysis, so to find these elements are factors which cause fluctuations of its overall value, find these fluctuations and the fluctuations of the law. To a non-listed enterprises, which causes fluctuations in the value factor is often only one, but several, So on the face of how these elements of synthetic non-listed enterprises fluctuations in the value function, This paper is divided into two situations described how these elements function synthesis of value, that is, when these elements random process for continuous said, Taylor is the start Ito theorem and its synthesis of the non-listed enterprises, the value function. Another is that When these elements random process for discrete performance, then using the Monte Carlo simulation method to value its synthesis. Through value function synthesis, would be a non-listed enterprises, the total value fluctuation law, therefore, can be calculated to be trading assets of the underlying assets of the real option value.