Valoración probabilística versus borrosa, opciones reales y el modelo binomial. Aplicación para proyectos de inversión en condiciones de ambigüedad
DOI:
https://doi.org/10.1016/j.estger.2014.01.018Keywords:
Opciones reales, Borroso, Binomial, AmbigüedadAbstract
El trabajo tiene por objeto exponer la metodología, las ventajas y las debilidades del modelo binomialborroso de valoración de opciones reales como complemento del modelo binomial probabilístico. Paralograr lo anterior primero se presentan los modelos de opciones reales clasificados en probabilístico yborroso; luego se desarrolla el modelo binomial borroso incorporando: el método Marketed Asset Disclai-mer (MAD), rejillas binomiales borrosas y el índice pesimismo-optimismo, para estimar el valor esperadode las opciones del proyecto (VEOP). Se ilustra con un caso comparando los resultados obtenidos con elmodelo borroso y el probabilístico. Finalmente se concluye que, en situaciones de falta de información(ambigüedad), la lógica borrosa es un complemento del modelo probabilístico para determinar el valorde la flexibilidad estratégica.Downloads
References
Amram, M. y Kulatilaka, N. (1998). Real Options (1st ed.). Boston: Harvard Business School Press.
Arnold T., Crack T., Schwartz A, (2004). Implied Binomial Trees in Excel whitout VBA. Social Science Research NetWork [consultado 6 Ene 2011]. Disponible en: http://papers.ssrn.com/sol3/papers.cfm?abstract id=541744.
Arnold, T. y Crack, T. (2004). Using the WACC to value real options. Financial Analysts Journal, 60, 78–82.
Baliero Filho, R. y Rosenfeld, R. (2004). Testing option pricing with edgeworth expansion. Physica A: Statistical Mechanis and its Application, 344, 484–490.
Black, F. y Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637–659.
Boyle, P. (1988). A lattice framework for option pricing with two state variables. Journal of Finance and Quantitative Analysis, 23, 1–12.
Brandao, L., Dyer, J. y Hahn, W. (2005). Using binomial decision trees to solve real options valuations problems. Journal of Decision Analysis, 2, 69–88.
Calle Fernández, A. y Tamayo Bustamante, V. (2011). Decisiones de inversión a través de opciones reales. Estudios Gerenciales, 25(111), 107–126.
Carlsson, C. y Fullér, R. (2001). On possibilistic mean value and variance fuzzy numbers. Fuzzy Sets and Systems, 122, 772–777.
Carlsson, C. y Fullér, R. (2003). A fuzzy approach to real option valuation. Fuzzy Sets and Systems, 139, 315–326.
Carlsson, C., Fullér, R., Heikkila, M. y Majlender, P. (2007). A fuzzy approach to R&D project portfolio selection. International Journal of Approximating Reasoning, 44(2), 93–105.
Collan, M., Fullér, R. y Mezei, J. (2009). Fuzzy pay-off method for real option valuation. Journal of Applied Mathematics and Decision Systems, 1–14.
Copeland, T. y Antikarov, V. (2001). Real Options (1st ed.). New York: Texere LLC.
Copeland, T. y Tufano, P. (2004). A real world to manage real options. Harvard Business School Review, 82, 90–99.
Cox, J., Ross, S. y Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7, 229–263.
Datar, V., Matews, S. y Johnson, B. (2007). A practical method for valuing real options: The Boeing approach. Journal of Applied Corporate Finance, 19, 95–104.
Datar, V. y Mathews, S. (2004). European real options: An intuitive algorithm for the Black-Scholes formula. Journal of Applied Finance, 14, 7–13.
Derman E., Kani I., Chriss N. (1996). Implied Trinomial Trees of the Volatility Smile. Quantitative strategies research notes, February [consultado 27 Jun 2011]. Disponible en: www.smartquant.com/references/Volatility/vol14.pdf.
Dixit, A. y Pindyck, R. (1994). Investment under Uncertainty (1st ed.). New Jersey: Pricenton University Press.
Dubois, D. y Prade, H. (1980). Fuzzy Sets and Systems. New York: Academic Press.
Fornero R. (2012). El Valor de los Proyectos de Inversión con Estimaciones Probabilísticas y Borrosas. XXXII Jornadas Nacionales de Administración Financiera, Septiembre, Volumen XXXII, 83-135 [consultado 7 Dic 2012]. Disponible en: http://www.sadaf.com.ar/espanol/publicaciones/publicacionesindividual.php?id=207.
Fullér, R. y Majlender, P. (2003). On weighted possibilistic mean and variance of fuzzy numbers. Fuzzy Sets and Systems, 136, 363–374.
Haahtela T. (2010). Displaced Diffusion Binomial Tree for Real Option Valuation. Social Science Research Network [consultado 22 Nov 2011]. Disponible en: http://papers.ssrn.com/sol3/papers.cfm?abstractid=1932408.
Haahtela T. (2011). Estimating Changing Volatility in Cash Flow Simulation Based Real Options Valuation with Regression Sum of Squared Error Method. Social Science Research Network [consultado 15 Feb 2012]. Disponible en: http://papers.ssrn.com/sol3/papers.cfm?abstractid=1864905.
Haug Gaarder, E. (2007). Derivatives: Models and Models (1st ed.). Chichester: John Wiley & Sons.
Hull, J. (2006). Futures, Options and other Derivatives (6th ed.). New Jersey: Prentice Hall.
Jabbour, G., Kramin, M. y Young, S. (2001). Two-state option pricing: Binomial models revisited. Journal of Futures Markets, 21, 987–1001.
Jarrow, R. y Rudd, A. (1982). Approximate option valuation for arbitrary stochastic processes. Journal of Financial Economics, 10, 347–369.
Kahraman, C., Ruan, D. y Tolga, E. (2002). Capital budgeting techniques using discounted fuzzy versus probabilistics cash flow. Information Science, 142, 57–76.
Kinnunen J. (2010). Valuing M&A Synergies as (Fuzzy) Real Options [consultado 7 Dic 2012]. Disponible en: www.realoptions.org/papers2010/238.pdf.
Landro, A. (2010). Acerca de la probabilidad: la interpretación del concepto de azar y la definición de probabilidad. Buenos Aires: Centro de Investigaciones en Econometría, Facultad de Ciencias Económicas UBA.
León, A., Mencia, J. y Sentaria, E. (2007). Parametric properties of seminonparametric distributions, with application to options valuation. Banco de España, Documento de Trabajo 0707, 9–30.
Liao, S. y Ho, S. (2010). Investment project valuation based on a fuzzy binomial approach. Information Sciences, 180, 2124–2133.
Luherman, T. (1998). Investment Science (1st ed.). New York: Oxford University Press. Machain, L. (2011). Simulación de modelos financieros. San Lorenzo: Editorial Helemm.
Merton, R. (1973). The theory of rational options pricing. Bell Journal of Economics and Management Science, 4(1), 141–183.
Milanesi, G. (2012). Opciones reales: el método binomial. Asimetría y curtosis en la valoración de empresas de base tecnológica. Revista Española de Capital de Riesgo, 2, 41–55.
Mun, J. (2004). Real Options Analysis: Tools and Techniques for Valuing Strategic Investment and Decisions (1st ed.). New York: Wiley.
Muzzioli, S. y Torricelli, A. (2004). A Multiperiod Binomial Model for Pricing Options in a Vague World. Journal of Economics and Dynamics Control, 28, 861–867.
Rendleman, R. y Bartter, B. (1979). Two-state option pricing. Journal of Finance, 34, 1092–1110.
Rubinstein, M. (1994). Implied binomial trees. Journal of Finance, 49(3), 771–818.
Rubinstein, M. (1998). Edgeworth binomial trees. Journal of Derivatives, 5, 20–27.
Rubinstein, M. (2000). On the Relation Between Binomial and Trinomial Option Pricing Model. California: UC Berkeley.
Smith, H. y Trigeorgis, L. (2004). Strategic Investment: Real Options and Games (1st ed.). New Jersey: Princeton University Press.
Smith, J. y Nau, R. (1995). Valuing risky projects: Option pricing theory and decision analysis. Management Science, 5, 795–816.
Smith, J. (2005). Alternative approach for solving real options problems. Decision Analysis, 2, 89–102.
Trigeorgis, L. (1995). Real Options in Capital Investment: Models, Strategies and Applications (1st ed.). London: Praeger.
Trigeorgis, L. (1997). Real Options: Managerial Flexibility and Strategy in Resource Allocations (2nd ed.). Cambridge: MIT Press.
Wang, A. y Halal, W. (2010). Comparison of real asset valuation models: A literature review. International Journal of Business and Management, 5, 14–24.
Wilmott, P. (2009). Frequently Asked Questions in Quantitative Finance (2nd ed.). Londres: John Wiley & Sons.
Yoshida, Y., Yasuda, M., Nakagami, J. y Kurano, M. (2006). A new evaluation of mean value for fuzzy numbers and its application to American options under uncertainty. Fuzzy Sets and Systems, 157, 2614–2626.
Zadeh, L. (1965). Fuzzy sets. Information Control, 3(8), 338–353.
Zdnek, Z. (2010). Generalised soft binomial American real option pricing model. European Journal of Operational Research, 207, 1096–1103.
Downloads
Published
Issue
Section
License
Articles are the sole responsibility of their authors, and will not compromise Icesi’s University principles or policies nor those of the Editorial Board of the journal Estudios Gerenciales. Authors authorize and accept the transfer of all rights to the journal, both for its print and electronic publication. After an article is published, it may be reproduced without previous permission of the author or the journal but the author(s), year, title, volume, number and range of pages of the publication must be mentioned. In addition, Estudios Gerenciales must be mentioned as the source (please, refrain from using Revista Estudios Gerenciales).
How to Cite
