@misc{Mizerka_Jacek_Wycena_2006,
 author={Mizerka, Jacek},
 year={2006},
 rights={Wszystkie prawa zastrzeżone (Copyright)},
 description={Prace Naukowe Akademii Ekonomicznej we Wrocławiu; 2006; nr 1109, s. 438-447},
 publisher={Wydawnictwo Akademii Ekonomicznej im. Oskara Langego we Wrocławiu},
 language={pol},
 abstract={The assumption about market completeness in the case of real options valuation is usually not fulfilled. Therefore, the value of not listed equity treated as a call option on the total value of the firm should be lower than the value calculated with the assumption of market completeness. It is difficult to estimate the value of equity on the partially complete market using only the contingent claim valuation model. An additional criterion should be added. The paper contains the proposal of using theSharpe index as the second criterion. Therefore, the value of the firm's equity could be calculated correcting the value calculated with the use of a classical option valuation model (binomial model). Portfolio P consisting of an underlying asset (firm's value) and put options on twin security, is created. The correction consists in decreasing the value of the option in order to obtain the value of the Sharpe index for portfolio P equal to the value of that index for the investment in twin security. The drawback of the method is the necessity of knowing the value of the correlation coefficient between the rate of return on investment in the underlying asset and the twin security rate of return},
 title={Wycena kapitału własnego - podejście opcyjne z wykorzystaniem wskaźnika Sharpe'a},
 type={artykuł},
}