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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Venture Capital Valuation with Option Pricing Approach |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 44 |
| Date | 2022 |
| Abstract Text | This thesis develops a methodology for venture capital valuation based on two option pricing approaches: "options building blocks" and Monte Carlo simulation. To make this thesis more realistic, we have incorporated provisions related to IPOs, such as IPO return guarantees and vetoes over down-IPOs, using a logit regression model to estimate the likelihood of an IPO exit. According to the results of the model tests, provisions like IPO return guarantees, participation, and liquidation preference significantly increase the value of VC securities. Thus, assuming that all shares are equally valuable as the newly issued preferred shares is highly dangerous and will lead to massive overvaluation. |
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