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Modelo de valoración con opciones reales, rejillas trinomial, volatilidad cambiante, sesgo y función isoelástica de utilidad || Valuation model with real options, trinomial lattice, changing volatility, bias and isoelastic utility functions

Author

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  • Milanesi, Gastón

    (Universidad Nacional del Sur (Argentina))

Abstract

La valoración de inversiones en empresas de base tecnológica, intangibles y start-up en mercados financieros emergentes, imperfectos e incompletos, tornan cuestionable el tradicional enfoque binomial de opciones reales. Por ello se propone un modelo numérico que modifica al tradicional modelo binomial, incorporando rejillas trinomiales, volatilidad cambiante, funciones isoelásticas de utilidad y aversión al riesgo variable. Estas características pretenden mejorar la valoración de proyectos no convencionales en mercados emergentes. Se empleó el método de análisis de casos para administración analizando la valoración de una estrategia de inversión sobre una firma de base tecnológica. Los resultados obtenidos permiten comparar los diferentes valores, desde el clásico modelo binomial hasta el modelo numérico propuesto. Este último demostró superioridad, debido a que incorpora explícitamente variables en el proceso de valoración, como las preferencias del inversor frente al riesgo y los niveles de volatilidad según el ciclo de vida.|| At emerging financial markets, the R&D, intangible and technological basis firms (TBF) valuation, they make the traditional real option binomial approach questionable. For that, a numerical model that modified the traditional binomial model is proposed, incorporating trinomial lattice, changing volatility, isoelastic utility function and variable risk aversion. These characteristics pretend improve the no conventional project valuation in emerging markets. It is employed the case method of analysis in administration, analysing the investment strategy valuation over a technological basis firm. The obtained results allow to compare the different values, from the classical binomial model until the proposed numerical model. The last showed superiority, because its incorporates explicitly variables in the valuation process, like the investor preference for risk and volatility levels according the life cycle.

Suggested Citation

  • Milanesi, Gastón, 2021. "Modelo de valoración con opciones reales, rejillas trinomial, volatilidad cambiante, sesgo y función isoelástica de utilidad || Valuation model with real options, trinomial lattice, changing volatilit," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 32(1), pages 257-273, December.
    • Handle: RePEc:pab:rmcpee:v:32:y:2021:i:1:p:257-273
    DOI: https://doi.org/10.46661/revmetodoscuanteconempresa.4602
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    References listed on IDEAS

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    More about this item

    Keywords

    opciones reales; trinomial; volatilidad cambiante; funciones isoelásticas de utilidad; aversión variable al riesgo; valuación start-up; real options; trinomial; changing volatility; isoelastic utility functions; variable risk aversion; start-up valuation;
    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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