布莱克—斯科尔斯期权定价模型在企业价值评估中的应用以濒临破产企业为例.pdf

摘 要 在资本市场中，企业价值评估活动除了可以用收益法、市场法和成本法之外， 期权定价理论已经成为国际市场上的主要金融衍生工具，为企业的经营和发展提 供了更多的选择。 文中简述了三种基本方法的基本原理和具体模型，并通过数学的证明推导出 了布莱克-斯科尔斯期权定价模型的基本公式，再通过比较分析出各种方法的优 缺点以及试用类型。 对于特殊的濒临破产企业，收益或者现金流量为负数、没有偿债能力且布派 发股息，传统的评估方法往往难以可靠地评估其价值，而运用期权定价理论则可 以顺利地解决估价难题。把濒临破产企业看作是一个看涨期权，并根据濒临破产 企业的价值特点和评估思路，逐一取得计算期权价值所需要的变量，通过这些变 量的采集，最终求得企业股权价值。 期权定价理论对于企业价值评估的意义非凡，能弥补用基本方法求特殊类型 企业价值的缺陷，成为特殊价值类型企业价值评估的首选，希望能在我国的评估 实践中应用的越来越广泛。 关键词：期权定价模型；企业价值；濒临破产企业 I Abstract Enterprise value assessment activities in the capital markets, in addition to outside income approach, market approach and cost approach, option pricing theory has become a major financial derivative instruments on the international market, the operation and development of the enterprises provide more choices. Briefly the basic principles and specific model of the three basic methods of mathematical proof derived the basic formula of the Black - Scholes option pricing model, and then through a comparative analysis of the advantages and disadvantages of the various methods and trial type. For special brink of bankruptcy enterprises, earnings or cash flow is negative, there is no solvency and cloth dividend payments, the traditional method of assessment is often difficult to reliably assess its value, option pricing theory can successfully solve the valuation problem. The brink of bankruptcy enterprises as a call option to obtain the variables for calculating the value of the options, and according to the brink of bankruptcy enterprise value characteristics and evaluation of ideas, one by one, through the acquisition of these variables, and ultimately obtained the value of corporate equity. Option pricing theory for