文章基本信息

标题：CORPORATE VALUATION USING TWO-DIMENSIONAL MONTE CARLO SIMULATION
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作者：Tarnóczi Tibor ; Fenyves Veronika ; Tóth Réka 等
期刊名称：Annals of the University of Oradea : Economic Science
印刷版ISSN：1222-569X
电子版ISSN：1582-5450
出版年度：2010
卷号：XIX
期号：02
页码：788-788–794
出版社：University of Oradea
摘要：In this paper, we have presented a corporate valuation model. The model combine several valuation methods in order to get more accurate results. To determine the corporate asset value we have used the Gordon-like two-stage asset valuation model based on the calculation of the free cash flow to the firm. We have used the free cash flow to the firm to determine the corporate market value, which was calculated with use of the Black-Scholes option pricing model in frame of the two-dimensional Monte Carlo simulation method. The combined model and the use of the two-dimensional simulation model provides a better opportunity for the corporate value estimation.
关键词：corporate valuation, free cash flow to the firm, real options, Black-Scholes option pricing model, two-dimensional Monte Carlo simulation, R statistics