2. Publicaciones

URI permanente para esta comunidadhttps://hdl.handle.net/20.500.12640/4068

Las publicaciones de ESAN reúnen una variedad de materiales académicos y prácticos que abarcan áreas fundamentales como la administración, economía, negocios, entre otros. Con enfoque en la formación y el desarrollo profesional, estas obras buscan contribuir al conocimiento y la innovación en diversas disciplinas; asimismo, proporciona información relevante y actualizada para la comunidad académica y empresarial en el ámbito local e internacional

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2014 - 201922020 - 20211

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Tema: search.filters.subject.Real options

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Mostrando 1 - 3 de 3
  • Miniatura
    ÍtemSolo Metadatos
    Quadrinomial trees with stochastic volatility to value real options
    (Universidad ESAN. ESAN Ediciones, 2021-12-19) Marín-Sánchez, Freddy H.; Pareja-Vasseur, Julián A.; Manzur, Diego
    Purpose. The purpose of this article is to propose a detailed methodology to estimate, model and incorporate the non-constant volatility onto a numerical tree scheme, to evaluate a real option, using a quadrinomial multiplicative recombination. Design/methodology/approach. This article uses the multiplicative quadrinomial tree numerical method with non-constant volatility, based on stochastic differential equations of the GARCH-diffusion type to value real options when the volatility is stochastic. Findings. Findings showed that in the proposed method with volatility tends to zero, the multiplicative binomial traditional method is a particular case, and results are comparable between these methodologies, as well as to the exact solution offered by the Black–Scholes model. Originality/value. The originality of this paper lies in try to model the implicit (conditional) market volatility to assess, based on that, a real option using a quadrinomial tree, including into this valuation the stochastic volatility of the underlying asset. The main contribution is the formal derivation of a risk-neutral valuation as well as the market risk premium associated with volatility, verifying this condition via numerical test on simulated and real data, showing that our proposal is consistent with Black and Scholes formula and multiplicative binomial trees method.
  • Miniatura
    ÍtemSolo Metadatos
    Modelo binomial para la valoración de empresas y los efectos de la deuda: escudo fiscal y liquidación de la firma
    (Universidad ESAN. ESAN Ediciones, 2014-06-30) Milanesi, Gastón Silverio
    This paper proposes a binomial model for company valuation, projecting scenarios of continuity or insolvency of the company, and comparing it with the discounted cash flow model. The Real Option Theory is used for estimating the value of the company, which results in an explicit trade-off between the advantages and the risk of taking on debts. The work is organized as follows: the model is introduced and developed, and then it is illustrated with the application of a case, comparing the results obtained with the discounted cash flow model. Variables like: leverage, tax rate and volatility are sensitive when analyzing the impact on the value of the company. Finally, the document describes the advantages of the proposed model.
  • Miniatura
    ÍtemSolo Metadatos
    Valorización de opciones reales: modelo Ornstein-Uhlenbeck
    (Universidad ESAN. ESAN Ediciones, 2016-12-01) Tresierra Tanaka, Álvaro; Carrasco Montero, Claudia Marilia
    This study has as its main objective to develop an analysis of decision making under uncertainty using the real options application in the evaluation of investments in mining projects. It is also proposed to study the behaviour of gold prices, for the specific case of Peru, using historic prices and based on the commodity prices process. The Ornstein-Uhlenbeck model has been used for this. The main result is that to evaluate projects using the real options approach allows to evaluate –in their real magnitude– the financial benefits associated with an investment project, as it takes into account the trinomial of profitability-risk-flexibility. The assessment method using real options makes it possible to structure strategic thinking.