Price Modeling of Eucalyptus Wood under Different Silvicultural Management for Real Options Approach

Detalhes bibliográficos
Autor(a) principal: Munis, Rafaele Almeida [UNESP]
Data de Publicação: 2022
Outros Autores: Camargo, Diego Aparecido [UNESP], da Silva, Richardson Barbosa Gomes [UNESP], Tsunemi, Miriam Harumi [UNESP], Ibrahim, Siti Nur Iqmal, Simões, Danilo [UNESP]
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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spelling 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