实物期权二叉树模型与企业并购

Real Option Binary Tree Mergers and Acquisitions

实物期权不但在投资决策中有着广泛的应用,而且在企业并购中也扮演着重要的角色.运用期权思维方法建立一种新的企业并购策略,即在企业的并购合约中添加一份最低价格的支持担保.这样既保留了被收购公司股价上升的收益,又限制了收购公司的损失.并利用二叉树期权定价方法,计算该支持担保的价值,以有效的控制并购风险.

Real option is widely applicable in investment decision and it also plays an important role in Mergers acquisition. The authors try to use the mode of option thought to build a new mergers and acquisitions strategy. The author suggest that a contract clause guaranteeing a price floor be added to the acquisition offer, so as to ensure that the acquired firm can not only gain the returns when stock prices rise but also avoid the risk when stock prices drop. The value of this contract clause is calculated and assessed by applying binary tree model in order to efficiently control the risks of Mergers and Acquisitions.