Valoración de opciones reales a través de equivalentes de certeza
| dc.citation.epage | 71 | |
| dc.citation.issue | 39 | |
| dc.citation.journalTitle | Ecos De Economía | spa |
| dc.citation.spage | 49 | |
| dc.citation.volume | 18 | |
| dc.contributor.affiliation | Operaciones Financieras XM S.A, Grupo de Investigación en Finanzas y Banca, Universidad EAFIT | spa |
| dc.contributor.affiliation | Departamento de Finanzas, Grupo de Investigación en Finanzas y Banca, Universidad EAFIT | spa |
| dc.contributor.author | Maya Ochoa, Cecilia | spa |
| dc.contributor.author | Pareja Vasseur, Julián | spa |
| dc.contributor.department | Economía y Finanzas | spa |
| dc.contributor.department | Finanzas | spa |
| dc.contributor.program | Grupo de Investigación Finanzas y Banca | spa |
| dc.date | 2014 | |
| dc.date.accessioned | 2015-11-06T21:15:37Z | |
| dc.date.available | 2015-11-06T21:15:37Z | |
| dc.date.issued | 2014 | |
| dc.description.abstract | This purpose of this research is to identify appropriate rates to discount the flows from real options in situations in which the risk-free rate does not apply, in particular, in incomplete markets. A methodology is proposed for valuing real options based on certainty equivalence, which requires as a principal condition the consideration of preferences represented with utility functions. A constant relative risk aversion (CRRA) utility function is used to represent these preferences. The results indicate that this methodology adequately reflects how the value of a real option changes in accordance with an investor´s preferences. | eng |
| dc.identifier.issn | 1657-4206 | |
| dc.identifier.uri | http://hdl.handle.net/10784/7627 | |
| dc.language.iso | eng | eng |
| dc.publisher | Universidad EAFIT | eng |
| dc.relation.ispartof | Ecos De Economía. Vol. 18, (39), 2014, pp.49-71 | spa |
| dc.relation.isversionof | http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/2706 | |
| dc.relation.uri | http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/2706 | |
| dc.rights | openAccess | eng |
| dc.rights | This work is licensed under a Creative Commons Attribution 3.0 License. | spa |
| dc.rights.accessrights | info:eu-repo/semantics/openAccess | eng |
| dc.rights.local | Acceso abierto | spa |
| dc.source | Ecos De Economía. Vol. 18, (39), 2014, pp.49-71 | spa |
| dc.subject.keyword | real options | eng |
| dc.subject.keyword | utility function | eng |
| dc.subject.keyword | certainty equivalent | eng |
| dc.subject.keyword | incomplete markets | eng |
| dc.subject.keyword | CRRA | eng |
| dc.title | Valoración de opciones reales a través de equivalentes de certeza | eng |
| dc.type | article | eng |
| dc.type | info:eu-repo/semantics/article | eng |
| dc.type | info:eu-repo/semantics/publishedVersion | eng |
| dc.type.hasVersion | Obra publicada | spa |
| dc.type.local | Artículo | spa |