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Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad

Author

Listed:
  • Andrés Mora-Valencia
  • Germán González-Echeverri
  • Juan Gregorio Solano

Abstract

El objetivo de este artículo es evaluar la posibilidad de expansión de una red integrada de servicios de salud mediante el uso de valoración por opciones reales. Para estimar el parámetro de volatilidad se estudian cuatro metodologías, dos de ellas son usadas en opciones reales las cuales se refieren a: Market Asset Disclaimery Market Approach. Adicionalmente, las otras dos metodologías propuestas son empleadas en opciones financieras, las cuales son: volatilidad implícita del modelo de Merton y volatilidad implícita mediante Newton-Raphson. Los resultados muestran que la volatilidad estimada mediante las metodologías propuestas es similar a la obtenida por la metodología tradicional de Market Asset Disclaimer. La principal contribución de este artículo consiste en la construcción de la sonrisa de la volatilidad para opciones reales, que es fácil de implementar.

Suggested Citation

  • Andrés Mora-Valencia & Germán González-Echeverri & Juan Gregorio Solano, 2015. "Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad," Estudios Gerenciales, Universidad Icesi, vol. 31(136), pages 287-298, September.
    • Handle: RePEc:col:000129:013834
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    File URL: http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/2063
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    Citations

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    Cited by:

    1. Pareja Vasseur, Julián. DBA & Prada Sánchez, Marcela & Moreno Escobar, Martha, 2019. "Volatilidad en Opciones Reales: Revisión Literaria y un Caso de Aplicación en el Sector Petrolero Colombiano || Real Options Volatility: Literature Review and a Case of Application in the Colombian Oi," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 27(1), pages 136-155, June.

    More about this item

    Keywords

    Red hospitalaria; Valoración financiera; Opciones reales; Volatilidad implícita;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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