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Modelo de opciones reales y aplicación al mercado petrolero

Author

Listed:
  • Hernández del Valle, Adrián

    (Instituto Politécnico Nacional, IPN)

  • Martínez García, Claudia Icela

    (Instituto Politécnico Nacional, IPN)

Abstract

We build a Conditional Real Options model VORC which allows for cashflows to be probabilistic and contingent on the average behavior of an external variable; and we apply our model to the crude oil market where the inflows on an investment project are contingent on the state of the base -the difference between the futures contract on an underlying asset and it's price for immediate delivery at present (or spot price)-. Our main result is that the VORC is a better criteria when evaluating projects with conditional, stochastic cashflows.// Construimos un modelo de opciones reales condicionales (MORC) para la evaluación de proyectos cuando sus flujos esperados son probabilísticos y contingentes al estado promedio de una variable exógena. Aplicamos el modelo al caso de proyectos de inversión en infraestructura petrolera tomando la base -la diferencia entre el precio del contrato a futuro respecto a un bien subyacente y el precio para entrega inmediata (o precio spot) del bien- como variable de estado. Nuestro resultado fundamental es que el MORC resulta un criterio de inversión más confiable cuando se valúan proyectos de inversión con flujos condicionales y estocásticos.

Suggested Citation

  • Hernández del Valle, Adrián & Martínez García, Claudia Icela, 2007. "Modelo de opciones reales y aplicación al mercado petrolero," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(294), pages 329-348, abril-jun.
  • Handle: RePEc:elt:journl:v:74:y:2007:i:294:p:329-348
    DOI: http://dx.doi.org/10.20430/ete.v74i294.367
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    File URL: http://www.eltrimestreeconomico.com.mx/index.php/te/article/view/367/417
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    Keywords

    evaluación de proyectos; opciones reales; petróleo y sus derivados; decisión de inversión con incertidumbre;

    JEL classification:

    • D46 - Microeconomics - - Market Structure, Pricing, and Design - - - Value Theory
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies

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