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Digest Finance

Specifics of using the BlackScholes model to assess the investment project performance

Vol. 27, Iss. 3, SEPTEMBER 2022

Received: 26 April 2018

Received in revised form: 11 May 2018

Accepted: 24 May 2018

Available online: 29 September 2022


JEL Classification: D81, G31, G32

Pages: 328345


Natal'ya M. PAKHNOVSKAYA Orenburg State University, Orenburg, Russian Federation


Anastasiya I. MISHUROVA Orenburg State University, Orenburg, Russian Federation


Subject. The article investigates the method of real options using the BlackScholes model.
Objectives. The aim is to clarify initial parameters of the BlackScholes 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 BlackScholes 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 BlackScholes model is the first choice when the economic life significantly exceeds the payback period of the investment project.

Keywords: investment project, BlackScholes model, real option, NPV, performance evaluation


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