espEconomy: strategy and practiceEconomy: strategy and practice1997-99672663-550XИнститут экономики10.51176/1997-9967-2023-1-272-286esp-986Research ArticleФИНАНСЫ И УПРАВЛЕНЧЕСКИЙ УЧЕТ, БУХГАЛТЕРСКИЙ УЧЕТFINANCE AND MANAGEMENT ACCOUNTING, ACCOUNTINGМодель расчета цены опционного договора на реальный опцион с правом продажи/покупки проектаOption Contract Pricing Model for Real Option with Right to Sell/Purchase the Projecthttps://orcid.org/0000-0002-6054-6510ФилинС. А.FilinS. A.

д.э.н., профессор

Стремянный переулок, 36, 117997, г.Москва

Sergei A. Filin – Doct.Sc. (Econ.), Professor

36, Stremyannyy Lane, Moscow, 117997, Moscow

filin.ss@rea.ruhttps://orcid.org/0000-0002-1292-402XЧайковскаяЛ. А.ChaykovskayaL. A.

д.э.н., профессор

Стремянный переулок, 36, 117997, г.Москва

Lyubov A. Chaykovskaya - Doct.Sc. (Econ.), Professor

36, Stremyannyy Lane, Moscow, 117997, Moscow

chaik4@yandex.ruhttps://orcid.org/0000-0001-7363-8214ЖусиповаЭ. Е.ZhussipovaE. E.

PhD, старший преподаватель

пр. Тауке хана, 5, 160000, г. Шымкент

Elmira E. Zhussipova - PhD, Senior Lecturer

5 Tauke khan avenue, 160000, Shymkent

elmira_zhusipova@mail.ruhttps://orcid.org/0000-0001-9459-357XИсаеваГ. К.IssayevaG. K.

к.э.н., профессор

пр. Тауке хана, 5, 160000, г. Шымкент

Gulmira K. Issayeva – Cand.Sc.(Econ.), Professor

5 Tauke khan avenue, 160000, Shymkent

gulmira_issaeva@mail.ruhttps://orcid.org/0000-0002-1869-0842СейсенбаеваЖ. М.SeisenbayevaZh. M.

докторант

пр. Тауке хана, 5, 160000, г. Шымкент

Zhannet M. Seisenbayeva – Doctoral student

5 Tauke khan avenue, 160000, Shymkent

zhannet.malik@internet.ruРоссийский экономический университет им. Г.В. ПлехановаРоссияPlekhanov Russian University of EconomicsRussian FederationЮжно-Казахстанский университет им.М.АуэзоваКазахстанM.Auezov South Kazakhstan UniversityKazakhstan202304042023181272286Copyright © Филин С.А., Чайковская Л.А., Жусипова Э.Е., Исаева Г.К., Сейсенбаева Ж.М., 20232023Филин С.А., Чайковская Л.А., Жусипова Э.Е., Исаева Г.К., Сейсенбаева Ж.М.Filin S.A., Chaykovskaya L.A., Zhussipova E.E., Issayeva G.K., Seisenbayeva Z.M.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://esp.ieconom.kz/jour/article/view/986

Целью исследования в статье является совершенствование методики расчета цены опционного договора, предметом - процесс расчета цены опционного договора на реальный опцион с правом продажи/покупки проекта, гипотезой - применение более объективной формулы расчета позволит повысить эффективность принятия стратегических инвестиционных и управленческих решений корпорации. Использован метод математического моделирования в части уточнения методики расчета цены опционного договора в рамках методов реальных опционов и дисконтирования денежных потоков. В статье обоснованы и уточнены расчётные формулы для цены опционного договора на реальный опцион с правом продажи/покупки реального проекта. Показано, что объективная оценка стоимости данного опционного договора выступает существенным инструментом при принятии стратегического инвестиционного решения по реализации проекта. Новизной статьи является сочетание практики стандартов хеджирования операций и методов реальных опционов и дисконтирования денежных потоков при разработке модели расчёта цены данного опционного договора. Применение более объективной формулы расчета цены опционного договора, ограниченной заданным индексом прибыльности по проекту, подтверждает выдвинутую гипотезу. Более объективная оценка эффективности реализации проектов c применением реальных опционов является конкурентным преимуществом корпорации благодаря возможности извлекать дополнительную выгоду из риска и неопределенности. Направление будущих исследований - формализация модели опционного ценообразования при расчете величины чистых активов. 

The study in the article aims to improve the methodology for calculating the price of an option agreement. The subject is calculating the price of the option agreement for a real option with the right to sell/purchase. The hypothesis is that using a more objective calculation formula will increase the efficiency of making the corporation’s strategic investment and management decisions. The method of mathematical modelling is used to refine the methodology for calculating the price of an option agreement within the framework of the ways of real options and discounting cash flows. The article justifies and clarifies the calculation formulas for the price of an option agreement for a real option with the right to sell/purchase. It has been shown that an objective assessment of the value of this option is a powerful tool for making a strategic investment decision. The article’s novelty is the combination of the practice of hedging standards for transactions and methods of real options and discounting cash flows when developing a model for calculating the price of an agreement. The application of a more objective pricing formula for an options contract, limited to the specified project profitability index, confirms the hypothesis. A more objective assessment of the effectiveness of projects with the application of real options is a competitive advantage of the corporation due to the ability to benefit further from risk and uncertainty. The direction of future research is the formalization of the option pricing model for calculating net assets. 

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The authors declare that there are no conflicts of interest present.