Applying options pricing method in determining the weighted average cost of capital
In calculating the average cost of capital for investment projects, one important factor to be determined is the weights for different sources of fund. According to the traditional method to calculate the weighted average cost of capital (WACC), these weights will be determined basing on the market...
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| Định dạng: | Journal article |
| Ngôn ngữ: | Vietnamese |
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2022
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| Truy cập trực tuyến: | http://scholar.dlu.edu.vn/handle/123456789/906 https://doi.org/10.37569/DalatUniversity.0.0.220(2012) |
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oai:scholar.dlu.edu.vn:123456789-9062022-09-14T08:49:37Z Applying options pricing method in determining the weighted average cost of capital Nguyễn, Thanh Hồng Ân Định giá quyền chọn Black-Scholes approach WACC In calculating the average cost of capital for investment projects, one important factor to be determined is the weights for different sources of fund. According to the traditional method to calculate the weighted average cost of capital (WACC), these weights will be determined basing on the market value of the sources of fund relatively to the market value of the project. However, in the case of lending to companies with limited liability status, the lenders have embedded an option into the lending contracts. The value of this option in not accounted for in the traditional method of calculating WACC, which make the results incorrect. This paper applies the Black – Scholes option pricing method to calculate the value of embedded options in lending contracts. From this, we can recalculate the correct weights for different sources of fund and then, calculating the correct weighted average cost of capital. 2 4 58–64 2022-09-12T10:07:44Z 2022-09-12T10:07:44Z 2012 Journal article Bài báo đăng trên tạp chí trong nước (có ISSN), bao gồm book chapter http://scholar.dlu.edu.vn/handle/123456789/906 https://doi.org/10.37569/DalatUniversity.0.0.220(2012) vi Dalat University Journal of Science 0866-787X |
| institution |
Thư viện Trường Đại học Đà Lạt |
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Thư viện số |
| language |
Vietnamese |
| topic |
Định giá quyền chọn Black-Scholes approach WACC |
| spellingShingle |
Định giá quyền chọn Black-Scholes approach WACC Nguyễn, Thanh Hồng Ân Applying options pricing method in determining the weighted average cost of capital |
| description |
In calculating the average cost of capital for investment projects, one important factor to be determined is the weights for different sources of fund. According to the traditional method to calculate the weighted average cost of capital (WACC), these weights will be determined basing on the market value of the sources of fund relatively to the market value of the project. However, in the case of lending to companies with limited liability status, the lenders have embedded an option into the lending contracts. The value of this option in not accounted for in the traditional method of calculating WACC, which make the results incorrect. This paper applies the Black – Scholes option pricing method to calculate the value of embedded options in lending contracts. From this, we can recalculate the correct weights for different sources of fund and then, calculating the correct weighted average cost of capital. |
| format |
Journal article |
| author |
Nguyễn, Thanh Hồng Ân |
| author_facet |
Nguyễn, Thanh Hồng Ân |
| author_sort |
Nguyễn, Thanh Hồng Ân |
| title |
Applying options pricing method in determining the weighted average cost of capital |
| title_short |
Applying options pricing method in determining the weighted average cost of capital |
| title_full |
Applying options pricing method in determining the weighted average cost of capital |
| title_fullStr |
Applying options pricing method in determining the weighted average cost of capital |
| title_full_unstemmed |
Applying options pricing method in determining the weighted average cost of capital |
| title_sort |
applying options pricing method in determining the weighted average cost of capital |
| publishDate |
2022 |
| url |
http://scholar.dlu.edu.vn/handle/123456789/906 https://doi.org/10.37569/DalatUniversity.0.0.220(2012) |
| _version_ |
1768305889217871872 |