Price Modeling of Eucalyptus Wood under Different Silvicultural Management for Real Options Approach
Autor(a) principal: | |
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Data de Publicação: | 2022 |
Outros Autores: | , , , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional da UNESP |
Texto Completo: | http://dx.doi.org/10.3390/f13030478 http://hdl.handle.net/11449/234353 |
Resumo: | Choosing the ideal number of rotations of planted forests under a silvicultural management regime results in uncertainties in the cash flows of forest investment projects. We verified if there is parity in the Eucalyptus wood price modeling through fractional Brownian motion and geometric Brownian motion to incorporate managerial flexibilities into investment projects in planted forests. We use empirical data from three production cycles of forests planted with Eucalyptus grandis × E. urophylla in the projection of discounted cash flows. The Eucalyptus wood price, assumed as uncertainty, was modeled using fractional and geometric Brownian motion. The discrete-time pricing of European options was obtained using the Monte Carlo method. The root mean square error of fractional and geometric Brownian motions was USD 1.4 and USD 2.2, respectively. The real options approach gave the investment projects, with fractional and geometric Brownian motion, an expanded present value of USD 8,157,706 and USD 9,162,202, respectively. Furthermore, in both models, the optimal harvest ages execution was three rotations. Thus, with an indication of overvaluation of 4.9% when assimilating the geometric Brownian motion, there is no parity between stochastic processes, and three production cycles of Eucalyptus planted forests are economically viable. |
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Price Modeling of Eucalyptus Wood under Different Silvicultural Management for Real Options Approachbiological assetsdiscrete-timeinvestment decisionmanagerial flexibilityplanted forestsChoosing the ideal number of rotations of planted forests under a silvicultural management regime results in uncertainties in the cash flows of forest investment projects. We verified if there is parity in the Eucalyptus wood price modeling through fractional Brownian motion and geometric Brownian motion to incorporate managerial flexibilities into investment projects in planted forests. We use empirical data from three production cycles of forests planted with Eucalyptus grandis × E. urophylla in the projection of discounted cash flows. The Eucalyptus wood price, assumed as uncertainty, was modeled using fractional and geometric Brownian motion. The discrete-time pricing of European options was obtained using the Monte Carlo method. The root mean square error of fractional and geometric Brownian motions was USD 1.4 and USD 2.2, respectively. The real options approach gave the investment projects, with fractional and geometric Brownian motion, an expanded present value of USD 8,157,706 and USD 9,162,202, respectively. Furthermore, in both models, the optimal harvest ages execution was three rotations. Thus, with an indication of overvaluation of 4.9% when assimilating the geometric Brownian motion, there is no parity between stochastic processes, and three production cycles of Eucalyptus planted forests are economically viable.Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)School of Agriculture São Paulo State University (UNESP)Institute of Biosciences São Paulo State University (UNESP)Department of Mathematics and Statistics Faculty of Science Universiti Putra Malaysia, SelangorSchool of Agriculture São Paulo State University (UNESP)Institute of Biosciences São Paulo State University (UNESP)CAPES: 001Universidade Estadual Paulista (UNESP)Universiti Putra MalaysiaMunis, Rafaele Almeida [UNESP]Camargo, Diego Aparecido [UNESP]da Silva, Richardson Barbosa Gomes [UNESP]Tsunemi, Miriam Harumi [UNESP]Ibrahim, Siti Nur IqmalSimões, Danilo [UNESP]2022-05-01T16:48:25Z2022-05-01T16:48:25Z2022-03-01info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://dx.doi.org/10.3390/f13030478Forests, v. 13, n. 3, 2022.1999-4907http://hdl.handle.net/11449/23435310.3390/f130304782-s2.0-85127592821Scopusreponame:Repositório Institucional da UNESPinstname:Universidade Estadual Paulista (UNESP)instacron:UNESPengForestsinfo:eu-repo/semantics/openAccess2022-05-01T16:48:25Zoai:repositorio.unesp.br:11449/234353Repositório InstitucionalPUBhttp://repositorio.unesp.br/oai/requestopendoar:29462024-08-05T15:03:08.670585Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP)false |
dc.title.none.fl_str_mv |
Price Modeling of Eucalyptus Wood under Different Silvicultural Management for Real Options Approach |
title |
Price Modeling of Eucalyptus Wood under Different Silvicultural Management for Real Options Approach |
spellingShingle |
Price Modeling of Eucalyptus Wood under Different Silvicultural Management for Real Options Approach Munis, Rafaele Almeida [UNESP] biological assets discrete-time investment decision managerial flexibility planted forests |
title_short |
Price Modeling of Eucalyptus Wood under Different Silvicultural Management for Real Options Approach |
title_full |
Price Modeling of Eucalyptus Wood under Different Silvicultural Management for Real Options Approach |
title_fullStr |
Price Modeling of Eucalyptus Wood under Different Silvicultural Management for Real Options Approach |
title_full_unstemmed |
Price Modeling of Eucalyptus Wood under Different Silvicultural Management for Real Options Approach |
title_sort |
Price Modeling of Eucalyptus Wood under Different Silvicultural Management for Real Options Approach |
author |
Munis, Rafaele Almeida [UNESP] |
author_facet |
Munis, Rafaele Almeida [UNESP] Camargo, Diego Aparecido [UNESP] da Silva, Richardson Barbosa Gomes [UNESP] Tsunemi, Miriam Harumi [UNESP] Ibrahim, Siti Nur Iqmal Simões, Danilo [UNESP] |
author_role |
author |
author2 |
Camargo, Diego Aparecido [UNESP] da Silva, Richardson Barbosa Gomes [UNESP] Tsunemi, Miriam Harumi [UNESP] Ibrahim, Siti Nur Iqmal Simões, Danilo [UNESP] |
author2_role |
author author author author author |
dc.contributor.none.fl_str_mv |
Universidade Estadual Paulista (UNESP) Universiti Putra Malaysia |
dc.contributor.author.fl_str_mv |
Munis, Rafaele Almeida [UNESP] Camargo, Diego Aparecido [UNESP] da Silva, Richardson Barbosa Gomes [UNESP] Tsunemi, Miriam Harumi [UNESP] Ibrahim, Siti Nur Iqmal Simões, Danilo [UNESP] |
dc.subject.por.fl_str_mv |
biological assets discrete-time investment decision managerial flexibility planted forests |
topic |
biological assets discrete-time investment decision managerial flexibility planted forests |
description |
Choosing the ideal number of rotations of planted forests under a silvicultural management regime results in uncertainties in the cash flows of forest investment projects. We verified if there is parity in the Eucalyptus wood price modeling through fractional Brownian motion and geometric Brownian motion to incorporate managerial flexibilities into investment projects in planted forests. We use empirical data from three production cycles of forests planted with Eucalyptus grandis × E. urophylla in the projection of discounted cash flows. The Eucalyptus wood price, assumed as uncertainty, was modeled using fractional and geometric Brownian motion. The discrete-time pricing of European options was obtained using the Monte Carlo method. The root mean square error of fractional and geometric Brownian motions was USD 1.4 and USD 2.2, respectively. The real options approach gave the investment projects, with fractional and geometric Brownian motion, an expanded present value of USD 8,157,706 and USD 9,162,202, respectively. Furthermore, in both models, the optimal harvest ages execution was three rotations. Thus, with an indication of overvaluation of 4.9% when assimilating the geometric Brownian motion, there is no parity between stochastic processes, and three production cycles of Eucalyptus planted forests are economically viable. |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022-05-01T16:48:25Z 2022-05-01T16:48:25Z 2022-03-01 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://dx.doi.org/10.3390/f13030478 Forests, v. 13, n. 3, 2022. 1999-4907 http://hdl.handle.net/11449/234353 10.3390/f13030478 2-s2.0-85127592821 |
url |
http://dx.doi.org/10.3390/f13030478 http://hdl.handle.net/11449/234353 |
identifier_str_mv |
Forests, v. 13, n. 3, 2022. 1999-4907 10.3390/f13030478 2-s2.0-85127592821 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Forests |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
Scopus reponame:Repositório Institucional da UNESP instname:Universidade Estadual Paulista (UNESP) instacron:UNESP |
instname_str |
Universidade Estadual Paulista (UNESP) |
instacron_str |
UNESP |
institution |
UNESP |
reponame_str |
Repositório Institucional da UNESP |
collection |
Repositório Institucional da UNESP |
repository.name.fl_str_mv |
Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP) |
repository.mail.fl_str_mv |
|
_version_ |
1808128452253974528 |