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


  • 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)


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).

Suggested Citation

  • Venegas Martínez, Francisco & Fundia Aizenstat, Andrés, 2006. "Opciones reales, valuación financiera de proyectos y estrategias de negocios. Aplicaciones al caso mexicano," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(290), pages 363-405, abril-jun.
  • Handle: RePEc:elt:journl:v:73:y:2006:i:290:p:363-405 DOI:

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    References listed on IDEAS

    1. Loungani, Prakash & Sheets, Nathan, 1997. "Central Bank Independence, Inflation, and Growth in Transition Economies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 381-399, August.
    2. Andreas Fischer, 1996. "Central bank independence and sacrifice ratios," Open Economies Review, Springer, vol. 7(1), pages 5-18, January.
    3. Chortareas, Georgios & Stasavage, David & Sterne, Gabriel, 2002. "Monetary Policy Transparency, Inflation and the Sacrifice Ratio," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(2), pages 141-155, April.
    4. Manfred Gärtner, 1997. "Central Bank Independence and the Sacrifice Ratio: The Dark Side of the Force," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 133(III), pages 513-538, September.
    5. Haan, Jakob de & Kooi, Willem J., 2000. "Does central bank independence really matter?: New evidence for developing countries using a new indicator," Journal of Banking & Finance, Elsevier, vol. 24(4), pages 643-664, April.
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    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    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.

    More about this item


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

    JEL classification:

    • G0 - Financial Economics - - General
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation


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