Subject The article investigates the method of real options using the Black-Scholes model. Objectives The aim is to clarify initial parameters of the Black-Scholes model when it is applied to evaluation of return on real investments and their sources. Methods The study draws on methods of deduction, induction, logical analysis, synthesis, and a set of statistical techniques, like groupings, mean and relative values, dynamics, a set of variate values. Results We assess the efficiency of investment projects using the Black-Scholes model and considering different variants of model parameters interpretation, specify the mechanism of calculating the standard deviation of cash flows generated by the investment project by type of economic activity. The paper offers to expand the information base of government statistics agencies by including the indicators on completed investment projects of economic entities in statistical reports for further processing, and to define mean difference deviation of changes in cash flows of similar projects by type of economic activity. Conclusions The Black-Scholes model is the first choice when the economic life significantly exceeds the payback period of the investment project.
Keywords: investment project, Black-Scholes model, real option, NPV, performance evaluation
Voronin D.M. [Real options in the evaluation of investment projects]. Permskii finansovyi zhurnal = Perm Financial Review, 2014, no. 2, pp. 47–61. (In Russ.)
Sysoev A.Yu. [Using the real options models in assessing the investment project efficiency]. Finansy: teoriya i praktika = Finance: Theory and Practice, 2003, no. 4, pp. 110–119. (In Russ.)
Krukovskii A.A. [The method of real options in investment management]. Trudy Instituta sistemnogo analiza Rossiiskoi akademii nauk = Proceedings of the Institute for Systems Analysis of the Russian Academy of Sciences, 2008, vol. 37, pp. 122–144. (In Russ.)
Ziyatdinov A.Sh. [The method of real options for investment project evaluation]. Ekonomicheskie nauki = Economic Sciences, 2010, vol. 64, no. 3, pp. 144–148. (In Russ.)
Pokutnii V.I. [Estimation of the cost of options. Comparative analysis of the Black-Scholes model and the Monte Carlo method]. Nauchnye zapiski molodykh issledovatelei = Scientific Notes of Young Researchers, 2014, no. 3, pp. 34–36. (In Russ.)
Damodaran A. Investitsionnaya otsenka: instrumenty i metody otsenki lyubykh aktivov [Investment Valuation: Tools and Techniques for Determining the Value of Any Asset]. Moscow, Al'pina Pablisher Publ., 2011, 1324 p.
Koshelevskii I.S. Metodika otsenki stoimosti proektnykh riskov v usloviyakh neopredelennosti na osnove modeli Bleka – Shoulza. V kn.: Sovremennye kontseptsii nauchnykh issledovanii [Methodology for estimating the cost of design risks in conditions of uncertainty based on the Black–Scholes model. In: Modern concepts of scientific research]. Moscow, Evraziiskoe nauchnoe ob"edinenie Publ., 2015, pp. 116–117.
Sutyagin V.Yu. [Nuances of the assessment of investment projects]. Sotsial'no-ekonomicheskie yavleniya i protsessy = Socio-economic Phenomena and Processes, 2014, vol. 9, no. 10, pp. 87–101. (In Russ.)
Baev I.A., Alyabushev D.B. [Real Options in Management: Economic Assessment of Innovation Projects]. Vestnik Ural'skogo instituta ekonomiki, upravleniya i prava = Bulletin of Ural Institute of Economics, Management and Law, 2010, no. 1, pp. 41–45. (In Russ.)
Shalagin M.Yu. [Analysis of main indicators and methods to estimate the performance of investment projects in the Russian economy]. Audit i finansovyi analiz = Audit and Financial Analysis, 2015, no. 4, pp. 270–286. (In Russ.)
Panchenko A.V., Abrakhmanov A.A. [Methods for assessing the efficiency of innovative projects with use of real options]. Rossiiskoe predprinimatel'stvo = Russian Journal of Entrepreneurship, 2014, no. 10, pp. 47–56. (In Russ.)
Rakhlina E.R. [A review of methods for assessing the effectiveness of investment projects]. Aktual'nye problemy gumanitarnykh i estestvennykh nauk = Topical Issues of Humanities and Sciences, 2015, no. 6-1, pp. 213–220. (In Russ.)
Malyshev E.A., Podoinitsyn R.G. [Evaluation method of investment based on real option analysis]. Ekonomika regiona = Economy of Region, 2013, no. 1, pp. 198–204. (In Russ.)