Advanced Search
MyIDEAS: Login

Opciones reales, valuación financiera de proyectos y estrategias de negocios. Aplicaciones al caso mexicano

Contents:

Author Info

  • Venegas Martínez, Francisco

    (Instituto Tecnológico y de Estudios Superiores de Monterrey (ITESM). Campus Ciudad de México)

  • Fundia Aizenstat, Andrés

    (Instituto Tecnológico y de Estudios Superiores de Monterrey (ITESM). Campus Ciudad de México)

Abstract

In this paper the methodology of real options is presented as an imperative tool for the board of directors of a firm for the decision making process on the financial assessment of projects or business strategies when there is flexibility (optionality) of making, in the future, new decisions such as: expanding, contracting, deferring, correcting or abandoning a project or strategy. In this regard, this research carries out a literature review of closed-form formulas to value the optionality of several strategies are obtained under the assumption that the present value of the expected cash flow follows a log-normal distribution or by using binomial methods. In particular, this paper deals with the case of the decision making of selling or shutting down a firm when the market value of its securities (titles of capital and debt) exceeds the present value of the expected cash flows, or the present value of such expected cash flows is less than certain salvage value. In this context, a Mexican firm that provides satellite communications services is analyzed. Moreover, the methodology of real options is applied to highway construction projects, in particular, the case of the Toluca-Atlacomulco highway project is examined under the assumptions of constant and stochastic volatility. It is also important to emphasize that this paper focuses on: i) the valuation of American abandonment real options; ii) valuation of composed real options; iii) valuation of real options with stochastic volatility extending Hull and White’s (1987) model.// En este trabajo la metodología de opciones reales se presenta como un instrumento indispensable para que los consejos de administración de las empresas tomen decisiones respecto a proyectos de inversión o estrategias de negocios cuando existe la flexibilidad (opcionalidad) de tomar en el futuro nuevas decisiones relacionadas con extender, contraer, posponer, enmendar o abandonar un proyecto o estrategia. Al respecto, el presente trabajo realiza una revisión de las diferentes fórmulas analíticas que aparecen en la bibliografía para valuar la opcionalidad de estrategias en el supuesto de que el valor presente de los flujos de efectivo esperados sigue una distribución log normal o bien mediante el uso de métodos de árboles binomiales. En particular, se trata el caso de la toma de decisiones de venta o cierre de una empresa cuando el valor de mercado de sus títulos (de capital y deuda) excede el valor presente de los flujos de efectivo esperados o el valor presente de estos flujos es menor que cierto valor de recuperación. En este contexto se analiza el caso de una empresa mexicana de servicios satelitales de comunicación. Asimismo, se aplica la metodología de opciones reales a proyectos carreteros de inversión; específicamente se examina el caso del proyecto de construcción del primer tramo de la autopista Toluca-Atlacomulco según los supuestos de volatilidad constante y estocástica. Es también importante destacar que esta investigación se centra en: i) la valuación de opciones reales americanas de abandono; ii) valuación de opciones reales compuestas; iii) valuación de opciones reales con volatilidad extendiendo el modelo de Hull y White (1987).

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

Volume (Year): LXXIII (2) (2006)
Issue (Month): 290 (abril-junio)
Pages: 363-405

as in new window
Handle: RePEc:elt:journl:v:73:y:2006:i:290:p:363-405

Contact details of provider:
Web page: http://www.fondodeculturaeconomica.com/

Order Information:
Postal: Order print issues directly in our web page or with Guadalupe Galicia at Fondo de Cultura Económica, El Trimestre Económico, Carretera Picacho Ajusco 227, 6° piso,Col. Bosques del Pedregal, CP 14738, Tlalpan, Distrito Federal, México
Email:
Web: http://www.eltrimestreeconomico.com/

Related research

Keywords: valuación financiera de proyectos de inversión; estrategias de negocios; opciones reales;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Francisco Venegas-Martínez, 2005. "Temporary Stabilization and the Real Option of Waiting when Consumption can be Delayed: an Extreme Value Approach," DEGIT Conference Papers c010_043, DEGIT, Dynamics, Economic Growth, and International Trade.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:elt:journl:v:73:y:2006:i:290:p:363-405. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rosa María González Mejía).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.