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Modelo de opciones reales y aplicación al mercado petrolero

Listed author(s):
  • Hernández del Valle, Adrián

    (Instituto Politécnico Nacional, IPN)

  • Martínez García, Claudia Icela

    (Instituto Politécnico Nacional, IPN)

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.

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

Volume (Year): LXXIV (2) (2007)
Issue (Month): 294 (abril-junio)
Pages: 329-348

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Handle: RePEc:elt:journl:v:74:y:2007:i:294:p:329-348
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