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Procesos estocásticos en la valuación de proyectos de inversión,opciones reales, árboles binomiales, simulación bootstrap y simulación Monte Carlo: flexibilidad en la toma de decisiones

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  • Cruz Aranda Fernando

    (Universidad Panamericana)

Abstract

This research incorporates stochastic processes in the valuation of investment projects using real options, which is linked to the value of managerial flexibility, that is, to use the option in order to make strategic decisions in line with the company’s economic environment. A project is valued taking into account the real option under which the company has the flexibility to abandon the project if the environment requires it. In the valuation of the project are considered cash flows of the company and bootstrap simulation, historical simulation and Monte Carlo simulation are carried out on them. We analyze and estimate cash flows considering binomial trees to finally determine the real option value and viability of the investment project of the company.

Suggested Citation

  • Cruz Aranda Fernando, 2012. "Procesos estocásticos en la valuación de proyectos de inversión,opciones reales, árboles binomiales, simulación bootstrap y simulación Monte Carlo: flexibilidad en la toma de decisiones," Contaduría y Administración, Accounting and Management, vol. 57(2), pages 83-112, abril-jun.
    • Handle: RePEc:nax:conyad:v:57:y:2012:i:2:p:83-112
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    References listed on IDEAS

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    1. Trigeorgis, Lenos, 1993. "The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(1), pages 1-20, March.
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    3. Triantis, Alexander J & Hodder, James E, 1990. "Valuing Flexibility as a Complex Option," Journal of Finance, American Finance Association, vol. 45(2), pages 549-565, June.
    4. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
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