Article

Valoración de opciones reales: Dificultades, problemas y errores

IESE Business School, IESE Research Papers 01/2008;
Source: RePEc

ABSTRACT Las f�rmulas de valoraci�n de opciones financieras se basan en el arbitraje (la posibilidad de formar una cartera r�plica, esto es, que proporciona unos flujos id�nticos a los de la opci�n financiera) y son muy exactas. Sin embargo, veremos que muy pocas veces tiene sentido utilizar directamente estas f�rmulas para valorar opciones reales, porque las opciones reales no son casi nunca replicables. Sin embargo, podemos modificar las f�rmulas para tener en cuenta la no replicabilidad. Los problemas con los que nos encontramos al valorar opciones reales son: 1) dificultad para definir los par�metros necesarios para valorar las opciones reales; 2) dificultad para definir y cuantificar la volatilidad de las fuentes de incertidumbre, y 3) dificultad para calibrar la exclusividad de la opci�n. Estos tres factores hacen que la valoraci�n de las opciones reales sea, en general, dif�cil, y casi siempre much�simo menos exacta y m�s cuestionable que la valoraci�n de las opciones financieras. Adem�s, es mucho m�s dif�cil comunicar la valoraci�n de las opciones reales que la de un proyecto de inversi�n ordinario, por su mayor complejidad t�cnica.

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