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Appendix 7
Valuation of Companies in the CAC 40 Using the Black–Scholes–Merton Method

The following table groups together the results of the calculations, making it possible to obtain all the parameters of the Black–Scholes formula in order to determine the economic value of equity using the real options method.

Table A7.1. Valuations of CAC 40 companies using real options

Company	Broker consensus EV	Risk-free rate in %	Share volatility in %	Accounting debt	Cash flow and equiv.	Net debt	Average maturity	d1	d2	Φ(d1) in %	Φ(d2) in %	Φ(-d1) in %	Φ(-d2) in %	Econ. value of debt	Net debt in %EV	Econ. value of E	B&S growth potential in %
Accor S.A.	7,074	2.18%	29%	1,717	1,491	226	3.4	3.09	2.57	100	99	0	1	101	1	6,974	9
Air Liquide S.A.	34,666	2.18%	20%	7,036	1,788	5,248	4.7	4.65	4.27	100	100	0	0	4,563	13	30,103	4
Alstrom S.A.	12,777	2.18%	36%	4,466	3,180	1,286	4.5	2.02	1.34	98	91	2	9	776	6	12,001	18
ArcelorMittal S.A.	33,957	2.18%	39%	20,020	2,959	17,060	6.3	1.39	0.77	92	78	8	22	13,459	40	20,498	7
Bouygues S.A.	11,541	2.18%	32%	7,023	3,161	3,862	7.3	1.37	0.76	92	78	8	22	2,469	21	9,072	39
Carrefour S.A.	20,306	2.18%	33%	11,672	4,760	6,912	5.3	1.44	0.85	92	80	8	20	5,119	25	15,187	2
Compagnie St- Gobain	24,221	2.18%	34%	11,044	2,949	8,095	5.8	1.79	1.18	96	88	4	12	6,514	27	17,707	6
Danone S.A.	39,300	2.18%	21%	9,031	2,141	6,890	4.9	4.14	3.74	100	100	0	0	5,973	15	33,328	-2
Electricité de France S.A.	67,684	2.18%	28%	50,286	17,001	33,285	7.9	1.24	0.78	89	78	11	22	23,401	35	44,282	64
Essilor International S.A.	16,356	2.18%	20%	904	397	507	2.5	9.85	9.54	100	100	0	0	459	3	15,897	-2
France Telecom	51,448	2.18%	27%	40,703	10,291	30,412	9.0	1.18	0.73	88	77	12	23	21,512	42	29,936	50
GDF Suez S.A.	79,613	2.18%	25%	56,994	19,394	37,600	11.2	1.37	0.84	91	80	9	20	23,205	29	56,408	59
Gemalto N.V.	5,567	2.18%	28%	504	339	165	1.0	8.88	8.60	100	100	0	0	154	3	5,413	-10
Lafarge S.A.	24,324	2.18%	33%	15,286	3,312	11,974	5.9	1.39	0.87	92	81	8	19	9,542	39	14,782	5
LeGrand S.A.	10,157	2.18%	23%	1,757	488	1,269	8.3	3.57	2.98	100	100	0	0	979	10	9,178	-1
LVMH	70,663	2.18%	26%	7,100	2,303	4,797	6.3	4.33	3.73	100	100	0	0	3,893	6	66,770	-1
Michelin	13,998	2.18%	31%	3,839	2,025	1,814	6.8	2.34	1.61	99	95	1	5	1,242	9	12,756	5
Pernod Ricard S.A.	33,425	2.18%	19%	9,866	828	9,038	5.7	3.81	3.44	100	100	0	0	7,879	24	25,546	-2
PPR S.A.	22,942	2.18%	25%	4,678	1,282	3,396	3.6	4.15	3.72	100	100	0	0	3,045	13	19,897	-8
Publicis Groupe S.A.	10,372	2.18%	19%	2,284	2,174	110	2.8	5.12	4.81	100	100	0	0	(24)	0	10,396	-2
Safran S.A.	15,092	2.18%	24%	2,445	1,448	997	3.4	4.74	4.32	100	100	0	0	824	5	14,268	0
Sanofi S.A.	103,138	2.18%	22%	14,983	4,124	10,859	4.6	4.86	4.43	100	100	0	0	9,435	9	93,703	-3
Schneider Electric S.A.	35,684	2.18%	34%	8,037	2,771	5,266	6.2	2.54	1.79	99	96	1	4	4,190	12	31,494	-4
Solvay S.A.	12,156	2.18%	33%	4,168	2,407	1,761	6.3	2.03	1.30	98	90	2	10	1,135	9	11,021	19
Total S.A.	108,524	2.18%	21%	32,399	16,701	15,698	4.4	3.61	3.22	100	100	0	0	12,722	12	95,802	6
Unibail- Rodamco SE	28,495	2.18%	20%	9,749	162	9,587	4.5	3.81	3.49	100	100	0	0	8,677	30	19,818	20
Vallourec S.A.	6,653	2.18%	41%	2,095	902	1,193	5.5	1.97	1.16	98	88	2	12	888	13	5,765	9
Veolia Environnement S.A.	17,728	2.18%	39%	20,454	5,724	14,730	7.4	0.24	(0.15)	59	44	41	56	9,156	52	8,572	80
Vinci S.A.	33,963	2.18%	28%	20,871	8,281	12,590	9.2	1.42	0.80	92	79	8	21	7,849	23	26,114	27
Viviendi	34,146	2.18%	30%	15,710	3,683	12,027	4.6	2.10	1.63	98	95	2	5	10,397	30	23,749	16

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Table of Contents for Appendix 7: Valuation of Companies in the CAC 40 Using the Black–Scholes–Merton Method

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Table of Contents for
Appendix 7: Valuation of Companies in the CAC 40 Using the Black–Scholes–Merton Method