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Valuation of investment on a firm with trade credit under uncertainty: A real options approach

机译：不确定条件下具有贸易信贷的公司的投资估值：实物期权方法

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摘要

This paper intends to propose a corporate valuation framework by incorporating both the stochastic product price and the stochastic interest rate in a delay payment context. By using Ito-Isometry theorem, we derived the analytical solution for corporate value, based on which sensitivity analyses and further simulations for the real option value are performed. Some critical factors were considered in the sensitivity analysis of corporate value: the drift and the volatility in the price and in the interest rate processes, the price elasticity of demand, the cost rate, the market share, as well as the length of time period for delay payments. To valuate an opportunity of investment on a firm with trade credit under uncertainty, a real options model was employed. The simulation results for the real option value indicated that increasing demand elasticity, market share, number of time periods for delay payments, interest rate drift, price volatility, and interest rate volatility all contribute to increasing real option value, whereas the increasing cost rate and price drift lead to the decreasing real option value as expected.
机译：本文打算通过在延迟付款的情况下将随机产品价格和随机利率结合在一起，提出一个公司估值框架。通过使用Ito-等距定理，我们得出了公司价值的分析解决方案，在此基础上进行了对实物期权价值的敏感性分析和进一步的模拟。公司价值敏感性分析中考虑了一些关键因素：价格和利率过程中的漂移和波动，需求的价格弹性，成本率，市场份额以及持续时间用于延迟付款。为了评估在不确定条件下具有贸易信用的公司的投资机会，采用了实物期权模型。实物期权价值的模拟结果表明，需求弹性，市场份额，延迟付款的时间段数，利率漂移，价格波动性和利率波动性的增加均有助于增加实物期权价值，而成本率和价格漂移导致预期的实物期权价值下降。

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