Avaliação de projetos de investimento com opções reais: cálculo de valor de opção de espera de uma Unidade Separadora de Propeno

• Autor(a) principal: Fonseca, Daniel Almeida Domingues
• Data de Publicação: 2008
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: https://hdl.handle.net/10438/1752
• topic: Opções reais; Processos estocásticos; Diferencial de Preços; Unidade separadora de propeno; Simulação de Monte Carlo; Real options; Stochastic processes; Spread; Propylene production unit; Monte Carlo simulation; Economia; Mercado de opções; Processo estocástico

The main subject of the present work is the evaluation of a real option to defer an investment on a Propylene Unit, in comparison to a static analysis of Net Present Value. So, we exposed the real options theory, the stochastic processes for the estimation of its main variables of uncertainty (prices of producfs sale and cost), as well as the simulation tools to be used. Considering these, we intend to show project managers that uncertainties can be measured, leading to greater flexibility on their decisions. The results show that it is optimal to do the investment immediately by the contingent claim analysis, and show divergent results on spread's contingent claims approach, due to dividend yiekTs estimation. The influence of volatility and dividend yield's values were evaluated, leading to the conclusion that the former creates more impact on the option's value than the latter.