The model of business evaluation based on the option approach is considered in the article. Models of option pricings intended for argumentation of choice among alternatives of the company development have received rather wide extension abroad. At the same time, they are rarely used in the Russian business evaluation practice. This fact is caused by poor quality of decision-making process affected, on the one hand, by misunderstanding of the basic idea of the mentioned approach, and on another, by complexity of mathematical techniques used in the models development. One of the most important questions of the real options theory is one connected with the estimation of efficiency of cross-financing companies within the holding structure.