Polina A. SALAMATINACorresponding author, Samara National Research University (Samara University), Samara, Russian Federation p.salamatina@yandex.ru ORCID id: not available
Subject. The value of a barrier option. Objectives. To develop a toolkit for modelling the value of innovative projects based on put barrier options with an upper dynamic boundary under conditions of non?stationary product prices. Methods. The theories of constructing an equivalent portfolio, arbitrage, the dominance theorem, and cost additivity were used. Results. A proof is provided that the value of a market portfolio equals its market price under the condition of no arbitrage and no transaction costs in a complete capital market. A contribution is made to the option?based approach to modelling the value of an innovative project, taking into account the dynamics of its financial indicators. In the modified binomial model, the price of the underlying asset equals the mathematical expectation of the sum of the cash flow and the adjusted liquidation value, net of the project’s bankruptcy costs. Conclusions. Under conditions of uncertainty in the market environment, an effective mechanism for reducing the risk of a negative net present value of an innovative project is the incorporation of a put barrier option with a dynamic upper boundary into the contract. A put option for selecting the optimal time to exit the project, based on the binomial model, allows the exit point to be determined at each node of the decision tree if the price of the underlying asset reaches the project’s liquidation value, provided that the project is in a bankrupt state.
Keywords: information system, automation of notifications, economic-mathematical model, ERP integration
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