Resumo

HERNANDEZ DEL VALLE, Adrián  e  MARTINEZ GARCIA, Claudia Icela. Modelo de opciones reales y aplicación al mercado petrolero. El trimestre econ [online]. 2007, vol.74, n.294, pp.329-348.  Epub 20-Nov-2020. ISSN 2448-718X.

We build a Conditional Real Options model VORC which allows for cash flows to be probabilistic and contingent on the average behavior of an external variable; and we apply our model to the crude oil market where the inflows on an investment project are contingent on the state of the base —the difference between the futures contract on an underlying as set and it’s price for immediate delivery at present (or spot price)—. Our main result is that the VORC is a better criteria when evaluating projects with conditional, stochastic cash flows.

Palavras-chave : evaluación de proyectos; opciones reales; petróleo y sus derivados; decisión de inversión con incertidumbre.

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