企业并购中目标公司价值的实物期权定价新方法——基于前景理论的行为分析

A New Real Option Pricing Approach for the Target Firm in Merger & Acquisition

研究目标:给出研究企业并购中目标公司价值的一种实物期权定价新方法。研究方法:在实物期权理论的基础上,建立企业并购中目标公司的实物期权定价模型和外生竞争性服从跳扩散过程的实物期权定价模型,并在此基础上运用前景理论,考虑决策人有限理性对目标公司估值的影响,构建基于前景理论的服从跳扩散过程的实物期权行为定价模型。研究发现:在实证研究中,选取了一个典型的企业并购案例,通过建立基于前景理论的服从跳扩散过程的实物期权定价模型,并用最小二乘蒙特卡洛(LSM)模拟方法对模型进行了模拟计算,得到了合理的目标公司价值的估计值。研究创新:考虑决策者的有限理性,建立基于前景理论的目标公司价值的实物期权定价模型。研究价值:在企业并购过程中为确定目标公司价值给出了一个有限理性框架下的定价新思路。

Research Objectives： This paper aims to provide a new approach of the option pricing for the target firm in M ＆ A. Research Methods： We establish the real option pricing model on the basis of real options theory and the real option pricing model with jump diffusion process under the condition of exogenous competition for the valuation of the target firm in M＆A. Furtbemore. by taking into consideration the compact of limited rationality of the decision makers on wduing target firm, the real option behavioral pricing model driven by jump-diffusion process and based on prospect theory is developed. Research Finding： We conduct case study of a typical example selected in the domestic M ＆ A market. We apply the real option behavioral pricing moclel, simulate by means of Least-Square Monte Carlo （LSM） simulation approach, and obtain the more reasonable estimated value of the target firm. Research Innovations： In the frame of the limited rationality, we establish the real option behavioral pricing model based on the prospect theory. Research Value： During the process of M＆A, we give a new alternative method of the valuation of the target firm for the decision makers.