Resumo

CRUZ ARANDA, Fernando  e  TERAN BUSTAMANTE, Antonia. Valuation of an investment project in research and development in the pharmaceutical industry. Contad. Adm [online]. 2019, vol.64, n.1. ISSN 0186-1042.  https://doi.org/10.22201/fca.24488410e.2018.1717.

In this paper, the evaluation of the investment project in research and development for the innovation and of great impact in the pharmaceutical industry is presented. The project evaluation is done through an American type real call option, based on binomial trees incorporating the expected volatility of the expected cash flows in order to determine the benefit of postponing the project three years, providing flexibility to investors in their decision making. Besides, in the valuation of a real option associated with the project, fuzzy sets theory is incorporated in the process of assigning possibilities to the branches of a tree. The value of the American type real call option to postpone the project are between 24.83 % and 51.22% of the investment, and the value of real option, using fuzzy logic is between 9.91% and 23.13% of the investment in a pessimistic scenario, and of the 10.04% and 39.08% of investment in an optimistic scenario, and for a experts scenario the option premium is between 10.00% and 26.91% of the investment, these are better results.

Palavras-chave : Innovation; Pharmaceutical industry; Real options; Binomial trees, Fuzzy logic.

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