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Valuación con opciones reales de proyectos con flujos correlacionados con fundamentales económicos y con saltos extremos Viabilidad del caso COMERCI UCB

Author

Listed:
  • Mendoza Sandoval Sergio

    (Instituto Politécnico Nacional)

  • Cruz Ake Salvador

    (Instituto Politécnico Nacional)

  • Venegas Martínez Francisco

    (Instituto Politécnico Nacional)

Abstract

This paper extends the method of discounted cash flows to value investment projects through incorporating real options. It is assumed the cash flows generated by the firm are correlated with macroeconomic fundamentals, particularly with the interest rate. It is also assumed that the cash flows have jumps whose size is given by an extreme value distribution. The flows are viewed as a portfolio of real options. The options arise from a stochastic dynamic optimization process where the investor (the entrepreneur) seeks to maximize his/her total profit discounted, subject to the wealth he/she possesses. This wealth includes the investment project, a risk-free bond, and a set of real options associated with the project.

Suggested Citation

  • Mendoza Sandoval Sergio & Cruz Ake Salvador & Venegas Martínez Francisco, 2014. "Valuación con opciones reales de proyectos con flujos correlacionados con fundamentales económicos y con saltos extremos Viabilidad del caso COMERCI UCB," Contaduría y Administración, Accounting and Management, vol. 59(1), pages 63-93, enero-mar.
    • Handle: RePEc:nax:conyad:v:59:y:2014:i:1:p:63-93
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    File URL: http://www.cya.unam.mx/index.php/cya/article/view/368
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    References listed on IDEAS

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    More about this item

    Keywords

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    JEL classification:

    • H43 - Public Economics - - Publicly Provided Goods - - - Project Evaluation; Social Discount Rate
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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