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Opciones reales secuenciales cuadrinomiales y volatilidad cambiante: incertidumbres tecnológicas

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  • Gastón Silverio Milanesi

    (Universidad Nacional del Sur, Argentina & Universidad de Buenos Aires, Argentina & Universidad Tecnológica Nacional, Argentina)

Abstract

Las inversiones en biotecnologías para el desarrollo de vacunas se caracterizan por ser un proceso de etapas secuenciales, desde su desarrollo hasta el lanzamiento comercial, con múltiples fuentes de incertidumbre, destacándose el riesgo tecnológico y de mercado. Estas características hacen que modelos como los árboles de decisión y opciones reales binomiales, no sean apropiados. El trabajo desarrolla un modelo numérico de valoración para este tipo de inversiones, con distribución de probabilidad cuatrinomial, caracterizando los riesgos tecnológicos y de mercado, opciones secuenciales y volatilidad cambiante. Es usado el método de análisis de casos con un proyecto de inversión de opciones secuenciales de desarrollo de un fármaco y posterior lanzamiento al mercado. El proyecto es valuado con el modelo propuesto y comparado su resultado con las clásicas alternativas. Los resultados obtenidos exponen la superior capacidad del modelo para valorar opciones secuenciales con múltiples fuentes de incertidumbre y volatilidad cambiante. Este es una herramienta de valuación es sencillo y versátil, sin la complejidad y refinamiento de otras propuestas analíticas.

Suggested Citation

  • Gastón Silverio Milanesi, 2022. "Opciones reales secuenciales cuadrinomiales y volatilidad cambiante: incertidumbres tecnológicas," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 17(1), pages 1-26, Enero - M.
    • Handle: RePEc:imx:journl:v:17:y:2022:i:1:a:4
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    References listed on IDEAS

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    More about this item

    Keywords

    Biotecnología; Opciones secuenciales; cuatrinomial; volatilidad cambiante;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies

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