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Valuación con opciones reales de proyectos con flujos correlacionados con fundamentales económicos y con saltos extremos Viabilidad del caso COMERCI UCB

Mendoza Sandoval Sergio (), Cruz Ake Salvador () and Venegas Martínez Francisco ()
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Mendoza Sandoval Sergio: Instituto Politécnico Nacional
Cruz Ake Salvador: Instituto Politécnico Nacional
Venegas Martínez Francisco: Instituto Politécnico Nacional

Authors registered in the RePEc Author Service: Francisco Venegas-Martínez and Salvador Cruz-Ake ()

Contaduría y Administración, 2014, vol. 59, issue 1, 63-93

Abstract: This paper extends the method of discounted cash flows to value investment projects through incorporating real options. It is assumed the cash flows generated by the firm are correlated with macroeconomic fundamentals, particularly with the interest rate. It is also assumed that the cash flows have jumps whose size is given by an extreme value distribution. The flows are viewed as a portfolio of real options. The options arise from a stochastic dynamic optimization process where the investor (the entrepreneur) seeks to maximize his/her total profit discounted, subject to the wealth he/she possesses. This wealth includes the investment project, a risk-free bond, and a set of real options associated with the project.

Keywords: valuación de proyectos; productos derivados; teoría de portafolios (search for similar items in EconPapers)
JEL-codes: G11 G13 H43 (search for similar items in EconPapers)
Date: 2014
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