Application Research Of Real Option In IT Enterprise's Evaluation

Enterprise valuation is a process of measuring enterprise's value under a certain assumptions with financial theories, models, methodologies, etc. This thesis applies risk-neutral thinking of Real Option theory, combining Monte Carlo simulation into real option pricing model, which inaugurates new method for real option pricing model.Real option has been studied for more than twenties years, it has been widely applied abroad. But in our country, we just begin to study real option. The research about enterprise'valuation mainly concentrates in 1990s, it has became into the hot discussing in 2000 and 2001.Recently the theory discussion about valuation of information and technology enterprise has been the top spot study gradually. With the development of real option theory, it has been widely applied in many fields.This thesis firstly summarizes the development and research on the application of real option theory in recent decades. Secondly this paper particularizes the real option theory's basic conception, and compares the differences between real option theory and traditional valuation theory, then explains the applicability of real option. Thirdly it illuminates method of valuation and calculation in the process of application, and mainly introduces Monte Carlo simulation, expounds Schwartz and Moon's (2001) real option pricing model. Lastly combining with IT enterprise'e characteristics, this paper adopts Schwartz and Moon's (2001) dispersible-time model approaching continuous-time model, and uses Monte Carlo simulation to emulate, evaluating the valuation of IT enterprises in our country, then gives the example of EASTCOM Corporation. From the result, we can see it is close to EASTCOM Corporation's stock price, so it reflects the enterprise's value in a large sense. From the sensitivity analysis, this paper finds the important parameters which affect enterprise's valuation, and analyses the reasons of difference between the result and the stock price.In the comclusion, this paper discusses the advantages of real option's application, at the same time, it points out the insufficiency of the study and the future of further research.