Vrednotenje investicijskih naložb z opcijskimi modeli

Kolenko, Matej

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Title:	Vrednotenje investicijskih naložb z opcijskimi modeli
Authors:	ID Kolenko, Matej (Author) ID Pažek, Karmen (Mentor) More about this mentor...
Files:	MAG_Kolenko_Matej_2011.pdf (836,21 KB) MD5: F4645439A3AD10C34B217D62F3069A38 PID: 20.500.12556/dkum/9397a5aa-12e8-47fa-8b8f-0aed6d64fed4
Language:	Slovenian
Work type:	Master's thesis
Organization:	FKBV - Faculty of Agriculture and Life Sciences
Abstract:	Za vrednotenje investicijskih projektov je splošno v uporabi metoda t.i. Cost Benefit analiza (CBA). V želji, da bi imeli vpogled tudi v samo jedro investicije, so čedalje bolj v uporabi t.i. opcijski moduli z realnimi opcijami, ki predstavljajo stohastičen pristop. Osnovni namen raziskave je bil prikaz aplikacije metod realnih opcij v kmetijstvu. Rezultati tradicionalne CBA s parametrom (NSVt) so pokazali, da je najsmotrnejša proizvodnja krompirja predelanega v kocke (NSVt = 273.213,92 €). Za oceno realnih opcij investicijskih projektov predelave krompirja sta bila nadalje uporabljena Black-Scholesov in binomski model. Opcijske vrednosti (OV) tako pri Black-Scholesovem (BS) modelu kot tudi pri binomskem modelu kažejo pozitivne vrednosti za vse tri vrste predelave (pomfrit, krhlji in kocke). Za krompir predelan v kocke znaša OV 105.860, 90 € pri BS in 105.324,42 € pri binomskem modelu. Realne opcije imajo torej pomembno vrednost, saj se tradicionalne metode naložbene analize tako nadgradijo tudi z metodami, ki upoštevajo realne opcije tudi s stohastičnega vidika.
Keywords:	CBA analiza, realne opcije, Black-Scholesov model, binomski model, investicijske naložbe v kmetijstvu
Place of publishing:	Maribor
Year of publishing:	2011
PID:	20.500.12556/DKUM-18810
NUK URN:	URN:SI:UM:DK:4XPKMHFP
Publication date in DKUM:	27.06.2011
Views:	4273
Downloads:	441
Metadata:
Categories:	FKBV Misc.
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Secondary language

Language:	English
Title:	Evaluation of investment with optional models
Abstract:	A common method used for evaluation of investment projects is the Cost Benefit Analysis (CBA). Desiring to have insight into the core of investment, are becoming more in use this optional modules with real options, which represent the stochastic approach. The basic purpose of this research was therefore display applications of methods real options in agriculture. Results of the traditional CBA with the parameter (NPVt) showed that the most suitable production of processed potatoes in cubes (NPVt = € 273.213,92). For the assessment of real options investment projects of processing potatoes have been further used the Black Scholes and the binominal model. Option value (OV) to the Black-Scholes (BS) model as well as in the binominal model to show positive values for all three types of processing (french fries, slices and cubes). Potatoes are processed into cubes is OV 105.860,90 € to BS and 105.324,42 in the binominal model. Real options have important value, because the traditional methods of investment analysis as well upgrade to the methods of real options with stochastic terms.
Keywords:	CBA, real options, Black-Scholes model, binominal model, investment project in agriculture

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