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Valoración de opciones reales: Dificultades, problemas y errores

Listed author(s):
  • Fernandez, Pablo


    (IESE Business School)

Las fórmulas de valoración de opciones financieras se basan en el arbitraje (la posibilidad de formar una cartera réplica, esto es, que proporciona unos flujos idénticos a los de la opción financiera) y son muy exactas. Sin embargo, veremos que muy pocas veces tiene sentido utilizar directamente estas fórmulas para valorar opciones reales, porque las opciones reales no son casi nunca replicables. Sin embargo, podemos modificar las fórmulas para tener en cuenta la no replicabilidad. Los problemas con los que nos encontramos al valorar opciones reales son: 1) dificultad para definir los parámetros necesarios para valorar las opciones reales; 2) dificultad para definir y cuantificar la volatilidad de las fuentes de incertidumbre, y 3) dificultad para calibrar la exclusividad de la opción. Estos tres factores hacen que la valoración de las opciones reales sea, en general, difícil, y casi siempre muchísimo menos exacta y más cuestionable que la valoración de las opciones financieras. Además, es mucho más difícil comunicar la valoración de las opciones reales que la de un proyecto de inversión ordinario, por su mayor complejidad técnica.

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Paper provided by IESE Business School in its series IESE Research Papers with number D/760.

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Length: 33 pages
Date of creation: 02 Aug 2008
Handle: RePEc:ebg:iesewp:d-0760
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IESE Business School, Av Pearson 21, 08034 Barcelona, SPAIN

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