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Master's Dissertation
DOI
10.11606/D.12.2004.tde-16042009-172526
Document
Author
Full name
Rodrigo Rodrigues Celoto
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2004
Supervisor
Committee
Siqueira, Jose de Oliveira (President)
Azzoni, Carlos Roberto
Lazzarini, Sérgio Giovanetti
Title in Portuguese
Apreçamento racional de projetos com flexibilidade e incertezas exógenas: uma aplicação em opções reais
Keywords in Portuguese
Avaliação de projetos
Opções reais
Teoria de investimento
Abstract in Portuguese
Neste trabalho é apresentado o suporte teórico necessário para a aplicação do apreçamento de opções reais com incertezas exógenas, inclusive com incertezas nãocomercializadas ou em mercados incompletos. Em seguida, o processo de modelagem de opções reais é analisado, sugere-se uma estrutura de modelagem de projetos com flexibilidade a partir de suas incertezas básicas, e comparam-se as duas principais abordagens atuais de modelagem de opções reais.
Title in English
Rational pricing of projects with flexibility and exogenous uncertainty: one real options application
Keywords in English
Investment theory
Project valuation
Real options
Abstract in English
In this work is presented the theoretical support needed for the application of real options pricing with exogenous uncertainties, include non-traded uncertainties and incomplete market uncertainties. It is also analyzed the process of real options modeling, suggesting a framework of project modeling with flexibility from its basic uncertainties, and it is compared the two main approaches for valuing real options.
 
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DISSERTACAO.PDF (687.37 Kbytes)
Publishing Date
2009-04-23
 
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