Valoración de opciones reales a través de equivalentes de certeza

This purpose of this research is to identify appropriate rates to discount the flows from real options in situations in which the risk-free rate does not apply, in particular, in incomplete markets.  A methodology is proposed for valuing real options based on certainty equivalence, which requires as...

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Autores:
Maya Ochoa, Cecilia
Pareja Vasseur, Julián
Tipo de recurso:
Fecha de publicación:
2014
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
eng
OAI Identifier:
oai:repository.eafit.edu.co:10784/7627
Acceso en línea:
http://hdl.handle.net/10784/7627
Palabra clave:
real options
utility function
certainty equivalent
incomplete markets
CRRA
Rights
License
openAccess
id REPOEAFIT2_df8d5f3f2ad56797db4712379d100f61
oai_identifier_str oai:repository.eafit.edu.co:10784/7627
network_acronym_str REPOEAFIT2
network_name_str Repositorio EAFIT
repository_id_str
spelling 20142015-11-06T21:15:37Z20142015-11-06T21:15:37Z1657-4206http://hdl.handle.net/10784/7627This purpose of this research is to identify appropriate rates to discount the flows from real options in situations in which the risk-free rate does not apply, in particular, in incomplete markets.  A methodology is proposed for valuing real options based on certainty equivalence, which requires as a principal condition the consideration of preferences represented with utility functions.  A constant relative risk aversion (CRRA) utility function is used to represent these preferences. The results indicate that this methodology adequately reflects how the value of a real option changes in accordance with an investor´s preferences.engUniversidad EAFITEcos De Economía. Vol. 18, (39), 2014, pp.49-71http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/2706http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/2706openAccessThis work is licensed under a Creative Commons Attribution 3.0 License. Acceso abiertohttp://purl.org/coar/access_right/c_abf2Ecos De Economía. Vol. 18, (39), 2014, pp.49-71Valoración de opciones reales a través de equivalentes de certezaarticleinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArtículoObra publicadapublishedVersionhttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1real optionsutility functioncertainty equivalentincomplete marketsCRRAEconomía y FinanzasFinanzasMaya Ochoa, CeciliaPareja Vasseur, JuliánOperaciones Financieras XM S.A, Grupo de Investigación en Finanzas y Banca, Universidad EAFITDepartamento de Finanzas, Grupo de Investigación en Finanzas y Banca, Universidad EAFITGrupo de Investigación Finanzas y BancaEcos De Economía1839497110784/7627oai:repository.eafit.edu.co:10784/76272015-11-06 16:15:37.531metadata.onlyhttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co
dc.title.eng.fl_str_mv Valoración de opciones reales a través de equivalentes de certeza
title Valoración de opciones reales a través de equivalentes de certeza
spellingShingle Valoración de opciones reales a través de equivalentes de certeza
real options
utility function
certainty equivalent
incomplete markets
CRRA
title_short Valoración de opciones reales a través de equivalentes de certeza
title_full Valoración de opciones reales a través de equivalentes de certeza
title_fullStr Valoración de opciones reales a través de equivalentes de certeza
title_full_unstemmed Valoración de opciones reales a través de equivalentes de certeza
title_sort Valoración de opciones reales a través de equivalentes de certeza
dc.creator.fl_str_mv Maya Ochoa, Cecilia
Pareja Vasseur, Julián
dc.contributor.department.spa.fl_str_mv Economía y Finanzas
Finanzas
dc.contributor.author.spa.fl_str_mv Maya Ochoa, Cecilia
Pareja Vasseur, Julián
dc.contributor.affiliation.spa.fl_str_mv Operaciones Financieras XM S.A, Grupo de Investigación en Finanzas y Banca, Universidad EAFIT
Departamento de Finanzas, Grupo de Investigación en Finanzas y Banca, Universidad EAFIT
dc.contributor.program.spa.fl_str_mv Grupo de Investigación Finanzas y Banca
dc.subject.keyword.eng.fl_str_mv real options
utility function
certainty equivalent
incomplete markets
CRRA
topic real options
utility function
certainty equivalent
incomplete markets
CRRA
description This purpose of this research is to identify appropriate rates to discount the flows from real options in situations in which the risk-free rate does not apply, in particular, in incomplete markets.  A methodology is proposed for valuing real options based on certainty equivalence, which requires as a principal condition the consideration of preferences represented with utility functions.  A constant relative risk aversion (CRRA) utility function is used to represent these preferences. The results indicate that this methodology adequately reflects how the value of a real option changes in accordance with an investor´s preferences.
publishDate 2014
dc.date.issued.none.fl_str_mv 2014
dc.date.available.none.fl_str_mv 2015-11-06T21:15:37Z
dc.date.accessioned.none.fl_str_mv 2015-11-06T21:15:37Z
dc.date.none.fl_str_mv 2014
dc.type.eng.fl_str_mv article
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.local.spa.fl_str_mv Artículo
dc.type.hasVersion.spa.fl_str_mv Obra publicada
dc.type.hasVersion.eng.fl_str_mv publishedVersion
status_str publishedVersion
dc.identifier.issn.none.fl_str_mv 1657-4206
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10784/7627
identifier_str_mv 1657-4206
url http://hdl.handle.net/10784/7627
dc.language.iso.eng.fl_str_mv eng
language eng
dc.relation.ispartof.spa.fl_str_mv Ecos De Economía. Vol. 18, (39), 2014, pp.49-71
dc.relation.isversionof.none.fl_str_mv http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/2706
dc.relation.uri.none.fl_str_mv http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/2706
dc.rights.eng.fl_str_mv openAccess
dc.rights.spa.fl_str_mv This work is licensed under a Creative Commons Attribution 3.0 License. 
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.local.spa.fl_str_mv Acceso abierto
rights_invalid_str_mv openAccess
This work is licensed under a Creative Commons Attribution 3.0 License. 
Acceso abierto
http://purl.org/coar/access_right/c_abf2
dc.publisher.eng.fl_str_mv Universidad EAFIT
dc.source.spa.fl_str_mv Ecos De Economía. Vol. 18, (39), 2014, pp.49-71
institution Universidad EAFIT
repository.name.fl_str_mv Repositorio Institucional Universidad EAFIT
repository.mail.fl_str_mv repositorio@eafit.edu.co
_version_ 1814110237298262016

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