Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad

Germán González-Echeverri; Andrés Mora-Valencia; Juan Gregorio Solano

doi:10.1016/j.estger.2015.03.004

Autores/as

Germán González-Echeverri Director, SKapital S.A., Medellín, Colombia
Andrés Mora-Valencia Profesor, Departamento de Finanzas, Escuela de Economía y Finanzas, Universidad EAFIT, Medellín, Colombia
Juan Gregorio Solano Coordinador Administrativo y Financiero, Hospital Infantil Santa Ana, Medellín, Colombia

DOI:

https://doi.org/10.1016/j.estger.2015.03.004

Palabras clave:

Red hospitalaria, Valoración financiera, Opciones reales, Volatilidad implícita

Resumen

El objetivo de este artículo es evaluar la posibilidad de expansión de una red integrada de servicios de salud mediante el uso de valoración por opciones reales. Para estimar el parámetro de volatilidad se estudian cuatro metodologías, dos de ellas son usadas en opciones reales las cuales se refieren a: Market Asset Disclaimer y Market Approach. Adicionalmente, las otras dos metodologías propuestas son empleadas en opciones financieras, las cuales son: volatilidad implícita del modelo de Merton y volatilidad implícita mediante Newton-Raphson. Los resultados muestran que la volatilidad estimada mediante las metodologías propuestas es similar a la obtenida por la metodología tradicional de Market Asset Disclaimer. La principal contribución de este artículo consiste en la construcción de la sonrisa de la volatilidad para opciones reales, que es fácil de implementar.

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