Titulo:
Valoración de opciones reales con múltiples incertidumbres mediante modelos k dimensionales
.
Sumario:
El modelo binomial presenta un conjunto de propiedades que lo convierten en el enfoque adecuado para resolver el problema de valoración en el campo de las opciones reales, mediante una aplicación fácil y práctica. Cabe resaltar que esto solo es posible en el contexto donde se presenta una única fuente subyacente de incertidumbre. Sin embargo, su adopción puede ser limitada para aquellas inversiones que cuentan con múltiples incertidumbres, dado que su interacción debería incorporarse al proceso de valoración. Como respuesta, la teoría ha propuesto enfoques de valoración que permiten representar las diferentes fuentes de incertidumbre mediante una estimación consolidada de la volatilidad, tal es el caso del enfoque Marketed Asset Disclaimer... Ver más
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2346-2140
2019-10-18
97
121
Carlos Zapata - 2019
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Valoración de opciones reales con múltiples incertidumbres mediante modelos k dimensionales Real Options valuation with multiple uncertainties using k-dimensional models El modelo binomial presenta un conjunto de propiedades que lo convierten en el enfoque adecuado para resolver el problema de valoración en el campo de las opciones reales, mediante una aplicación fácil y práctica. Cabe resaltar que esto solo es posible en el contexto donde se presenta una única fuente subyacente de incertidumbre. Sin embargo, su adopción puede ser limitada para aquellas inversiones que cuentan con múltiples incertidumbres, dado que su interacción debería incorporarse al proceso de valoración. Como respuesta, la teoría ha propuesto enfoques de valoración que permiten representar las diferentes fuentes de incertidumbre mediante una estimación consolidada de la volatilidad, tal es el caso del enfoque Marketed Asset Disclaimer (MAD) desarrollado por Copeland y Antikarov (2001). Como alternativa, se puede dar un tratamiento individual a cada incertidumbre. En este contexto, se encuentran diferentes propuestas que extienden el modelo binomial a un contexto k-dimensional, donde se incorpora la dinámica propia de cada incertidumbre, así como sus correlaciones. Para lograr esta aplicación, se requiere una aproximación al proceso estocástico k-dimensional. Este trabajo presenta una revisión sucinta de los diferentes métodos propuestos en este contexto, así como sus bondades, limitaciones y algunos enfoques alternativos. The binomial model presents a set of properties that make it a suitable approach in order to value the real options, throughout an easy and practical application. This is possible by the adaptation of the valuation principle for non-arbitrage, own of the options pricing theory. However, their adoption may be limited for those options that have multiple sources of uncertainty, given that their interaction should be incorporated into the valuation process. In response, financial theory has proposed valuation approaches that allow different sources of uncertainty to be represented by a consolidated estimate of volatility, such as the Marketed Asset Disclaimer (mad) approach developed by Copeland and Antikarov (2001). As an alternative, a treatment that incorporates the dynamics of each uncertainty can be given. In this context, there are different proposals that extend the Binomial model to k-dimensional or multi-dimensional context. To achieve the application, it is necessary an approximation of the k-dimensional stochastic process, as well as its correlations. This paper presents a concise review of the different methods proposed in this context, as well as their benefits, limitations and, some alternative approaches. Zapata, Carlos 16 Núm. 16 , Año 2019 : Enero-Junio Artículo de revista Journal article 2019-10-18T16:08:37Z 2019-10-18T16:08:37Z 2019-10-18 application/pdf text/html Universidad Externado de Colombia ODEON 1794-1113 2346-2140 https://revistas.uexternado.edu.co/index.php/odeon/article/view/6205 10.18601/17941113.n16.05 https://doi.org/10.18601/17941113.n16.05 spa https://creativecommons.org/licenses/by-nc-sa/4.0/ Carlos Zapata - 2019 97 121 Amram, M. y Kulatilaka, N. (1999). Real options: Managing strategic investment in an uncertain world. Boston: Harvard Business School Press. Black, F. y Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637-659. Borison, A. (2005). Real options analysis: Where are the emperor’s clothes? Journal of Applied Corporate Finance, 17(2), 17-31. Boyle, P. (1988). A lattice framework for option pricing with two state variables. Journal of Financial and Quantitative Analysis, 23(1), 1-12. Boyle, P., Evnine, J. y Gibbs, S. (1989). Numerical evaluation of multivariate contingent claims. The Review of Financial Studies, 2(2) 241-250. Brand˜ao, L. Dyer, J., y Hahn,W. (2005). Using binomial decision trees to solve real options valuations problems. Journal of Decision Analysis, 2(2), 69-88. Brand˜ao, L., Dyer, J. y Hahn, W. (2012). Volatility estimation for stochastic project value models. European Journal of Operational Research, 220(3), 642-648. Brennan, M. y Schwartz, E. (1985). Evaluating natural resource investments. Journal of Business, 58(2), 135-157. Copeland, T. y Antikarov, V. (2001). Real Options: A Practitioner’s Guide. New York: Texere Publishing Ltd. Copeland, T. y Tufano, P. (2004). A real world way to manage real options. Havard Business Review, 1-12. Cort´azar, G. y Schwartz, E. (1993). A compound option model of production and intermediate inventories. Journal of Business, 66(4), 517-540. Costa-Lima, G. y Suslick, S. (2006). Estimating the volatility of mining projects considering price and operating cost uncertainties. Resources Policy, 31(2), 86-94. Cox, J., Ross, S. y Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7(3), 229-263. Davis, G. (1998). Estimating volatility and dividend yield when valuing real options to invest or abandon. The Quarterly Review of Economics and Finance, 38(3), 725-754. Dixit, A. y Pindyck, R. (1994). Investment under Uncertainty. New Jersey: Princeton University Press. Ekvall, N. (1996). A lattice approach for pricing of multivariate contingent claims. European Journal of Operational Research, 91(2), 214-228. Gamba, A. y Trigeorgis, L. (2007). An improved binomial lattice method for multidimensional options. Applied Mathematical Finance, 14(5), 453-475. Herath, H. y Kumar, P. (2006). Multinomial approximating models for options. Advances in Investment Analysis and Portfolio Management, (2), 199-226. Hull, J. y White, A. (1988). The use of the control variate technique in option pricing. Journal of Financial and Quantitative analysis, 23(3), 237-251. Hull, J. y White, A. (1990). Valuing derivative securities using the explicit finite difference method. The Journal of Financial and Quantitative Analysis, 25(1), 87-100. Kamrad, B. y Ritchken, P. (1991). Multinomial approximating model for options with k-state variables. Management Science, 37(12), 1640-1652. Korn, R. yM¨uller, S. (2009). The decoupling approach to binomial pricing of multiasset options. The Journal of Computational Finance, 12(3), 1-30. Merton, R. (1973). The theory of rational option pricing. The Bell Journal of Economics and Management Science, 4(1), 141-183. Merton, R. (1977). On the pricing of contingent claims and the Modigliani-Miller theorem. Journal of Finance, 29(5), 241-249. Myers, S. (1977). Determinants of corporate borrowing. Journal of Financial Economic, 5(1), 147-175. Nelson, D. y Ramaswamy, K. (1990). Simple binomial processes as diffusion approximations in financial models. The Review of Financial Studies, 3(3), 393-430. Paddock, J., Siegel, D., y Smith, J. (1988). Option valuation of claims on real assets: The case of offshore petroleum leases. The Quarterly Journal of Economics, 103(3), 479-508. Pindyck, R. (1993). Investment of uncertain cost. Journal of Financial Economics, 34(1), 53-76. Rendleman, R. y Bartter, B. (1979). Two-state option pricing. The Journal of Finance, 34(5), 1093-1110. Smit, H. y Trigeorgis, L. (2004). Strategic investment: Real Options and Games. New Jersey: Princeton University Press. Trigeorgis, L. (1991). A log-transformed binomial numerical analysis method for valuing complex multioption investments. Journal of Financial and Quantitative Analysis, 26(1), 309-326 Trigeorgis, L. (1996). Real Options: Managerial Flexibility and Strategy in Resource Allocation. Cambridge, Mass.: The MIT Press. https://revistas.uexternado.edu.co/index.php/odeon/article/download/6205/8054 https://revistas.uexternado.edu.co/index.php/odeon/article/download/6205/8572 info:eu-repo/semantics/article http://purl.org/coar/resource_type/c_6501 http://purl.org/redcol/resource_type/ARTREF info:eu-repo/semantics/publishedVersion http://purl.org/coar/version/c_970fb48d4fbd8a85 info:eu-repo/semantics/openAccess http://purl.org/coar/access_right/c_abf2 Text Publication |
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UNIVERSIDAD EXTERNADO DE COLOMBIA |
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Colombia |
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Revista ODEON |
| title |
Valoración de opciones reales con múltiples incertidumbres mediante modelos k dimensionales |
| spellingShingle |
Valoración de opciones reales con múltiples incertidumbres mediante modelos k dimensionales Zapata, Carlos |
| title_short |
Valoración de opciones reales con múltiples incertidumbres mediante modelos k dimensionales |
| title_full |
Valoración de opciones reales con múltiples incertidumbres mediante modelos k dimensionales |
| title_fullStr |
Valoración de opciones reales con múltiples incertidumbres mediante modelos k dimensionales |
| title_full_unstemmed |
Valoración de opciones reales con múltiples incertidumbres mediante modelos k dimensionales |
| title_sort |
valoración de opciones reales con múltiples incertidumbres mediante modelos k dimensionales |
| title_eng |
Real Options valuation with multiple uncertainties using k-dimensional models |
| description |
El modelo binomial presenta un conjunto de propiedades que lo convierten en el enfoque adecuado para resolver el problema de valoración en el campo de las opciones reales, mediante una aplicación fácil y práctica. Cabe resaltar que esto solo es posible en el contexto donde se presenta una única fuente subyacente de incertidumbre. Sin embargo, su adopción puede ser limitada para aquellas inversiones que cuentan con múltiples incertidumbres, dado que su interacción debería incorporarse al proceso de valoración. Como respuesta, la teoría ha propuesto enfoques de valoración que permiten representar las diferentes fuentes de incertidumbre mediante una estimación consolidada de la volatilidad, tal es el caso del enfoque Marketed Asset Disclaimer (MAD) desarrollado por Copeland y Antikarov (2001). Como alternativa, se puede dar un tratamiento individual a cada incertidumbre. En este contexto, se encuentran diferentes propuestas que extienden el modelo binomial a un contexto k-dimensional, donde se incorpora la dinámica propia de cada incertidumbre, así como sus correlaciones. Para lograr esta aplicación, se requiere una aproximación al proceso estocástico k-dimensional. Este trabajo presenta una revisión sucinta de los diferentes métodos propuestos en este contexto, así como sus bondades, limitaciones y algunos enfoques alternativos.
|
| description_eng |
The binomial model presents a set of properties that make it a suitable approach in order to value the real options, throughout an easy and practical application. This is possible by the adaptation of the valuation principle for non-arbitrage, own of the options pricing theory. However, their adoption may be limited for those options that have multiple sources of uncertainty, given that their interaction should be incorporated into the valuation process. In response, financial theory has proposed valuation approaches that allow different sources of uncertainty to be represented by a consolidated estimate of volatility, such as the Marketed Asset Disclaimer (mad) approach developed by Copeland and Antikarov (2001). As an alternative, a treatment that incorporates the dynamics of each uncertainty can be given. In this context, there are different proposals that extend the Binomial model to k-dimensional or multi-dimensional context. To achieve the application, it is necessary an approximation of the k-dimensional stochastic process, as well as its correlations. This paper presents a concise review of the different methods proposed in this context, as well as their benefits, limitations and, some alternative approaches.
|
| author |
Zapata, Carlos |
| author_facet |
Zapata, Carlos |
| citationissue |
16 |
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Núm. 16 , Año 2019 : Enero-Junio |
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Universidad Externado de Colombia |
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ODEON |
| source |
https://revistas.uexternado.edu.co/index.php/odeon/article/view/6205 |
| language |
spa |
| format |
Article |
| rights |
https://creativecommons.org/licenses/by-nc-sa/4.0/ Carlos Zapata - 2019 info:eu-repo/semantics/openAccess http://purl.org/coar/access_right/c_abf2 |
| references |
Amram, M. y Kulatilaka, N. (1999). Real options: Managing strategic investment in an uncertain world. Boston: Harvard Business School Press. Black, F. y Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637-659. Borison, A. (2005). Real options analysis: Where are the emperor’s clothes? Journal of Applied Corporate Finance, 17(2), 17-31. Boyle, P. (1988). A lattice framework for option pricing with two state variables. Journal of Financial and Quantitative Analysis, 23(1), 1-12. Boyle, P., Evnine, J. y Gibbs, S. (1989). Numerical evaluation of multivariate contingent claims. The Review of Financial Studies, 2(2) 241-250. Brand˜ao, L. Dyer, J., y Hahn,W. (2005). Using binomial decision trees to solve real options valuations problems. Journal of Decision Analysis, 2(2), 69-88. Brand˜ao, L., Dyer, J. y Hahn, W. (2012). Volatility estimation for stochastic project value models. European Journal of Operational Research, 220(3), 642-648. Brennan, M. y Schwartz, E. (1985). Evaluating natural resource investments. Journal of Business, 58(2), 135-157. Copeland, T. y Antikarov, V. (2001). Real Options: A Practitioner’s Guide. New York: Texere Publishing Ltd. Copeland, T. y Tufano, P. (2004). A real world way to manage real options. Havard Business Review, 1-12. Cort´azar, G. y Schwartz, E. (1993). A compound option model of production and intermediate inventories. Journal of Business, 66(4), 517-540. Costa-Lima, G. y Suslick, S. (2006). Estimating the volatility of mining projects considering price and operating cost uncertainties. Resources Policy, 31(2), 86-94. Cox, J., Ross, S. y Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7(3), 229-263. Davis, G. (1998). Estimating volatility and dividend yield when valuing real options to invest or abandon. The Quarterly Review of Economics and Finance, 38(3), 725-754. Dixit, A. y Pindyck, R. (1994). Investment under Uncertainty. New Jersey: Princeton University Press. Ekvall, N. (1996). A lattice approach for pricing of multivariate contingent claims. European Journal of Operational Research, 91(2), 214-228. Gamba, A. y Trigeorgis, L. (2007). An improved binomial lattice method for multidimensional options. Applied Mathematical Finance, 14(5), 453-475. Herath, H. y Kumar, P. (2006). Multinomial approximating models for options. Advances in Investment Analysis and Portfolio Management, (2), 199-226. Hull, J. y White, A. (1988). The use of the control variate technique in option pricing. Journal of Financial and Quantitative analysis, 23(3), 237-251. Hull, J. y White, A. (1990). Valuing derivative securities using the explicit finite difference method. The Journal of Financial and Quantitative Analysis, 25(1), 87-100. Kamrad, B. y Ritchken, P. (1991). Multinomial approximating model for options with k-state variables. Management Science, 37(12), 1640-1652. Korn, R. yM¨uller, S. (2009). The decoupling approach to binomial pricing of multiasset options. The Journal of Computational Finance, 12(3), 1-30. Merton, R. (1973). The theory of rational option pricing. The Bell Journal of Economics and Management Science, 4(1), 141-183. Merton, R. (1977). On the pricing of contingent claims and the Modigliani-Miller theorem. Journal of Finance, 29(5), 241-249. Myers, S. (1977). Determinants of corporate borrowing. Journal of Financial Economic, 5(1), 147-175. Nelson, D. y Ramaswamy, K. (1990). Simple binomial processes as diffusion approximations in financial models. The Review of Financial Studies, 3(3), 393-430. Paddock, J., Siegel, D., y Smith, J. (1988). Option valuation of claims on real assets: The case of offshore petroleum leases. The Quarterly Journal of Economics, 103(3), 479-508. Pindyck, R. (1993). Investment of uncertain cost. Journal of Financial Economics, 34(1), 53-76. Rendleman, R. y Bartter, B. (1979). Two-state option pricing. The Journal of Finance, 34(5), 1093-1110. Smit, H. y Trigeorgis, L. (2004). Strategic investment: Real Options and Games. New Jersey: Princeton University Press. Trigeorgis, L. (1991). A log-transformed binomial numerical analysis method for valuing complex multioption investments. Journal of Financial and Quantitative Analysis, 26(1), 309-326 Trigeorgis, L. (1996). Real Options: Managerial Flexibility and Strategy in Resource Allocation. Cambridge, Mass.: The MIT Press. |
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