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Opciones Reales: El método binomial, asimetría y curtosis en la valoración de empresas de base tecnológica

ABRIL/JUNIO 2012
 
Del Nº 2 / 2012
Opciones Reales: El método binomial, asimetría y curtosis en la valoración de empresas de base tecnológica
Gastón Milanesi
Universidad Nacional del Sur (Argentina)
  

 

Abstract:

Some real assets, like the technological firms (TF), don´t satisfied
with the alleged requested for the classical models of the Real Option´s Theory, as to know: (a) financial markets incomplete and lack of twin financial assets, (b) no normally stochastic process of the underlying asset (the project´s value). In that sense it proposes a model for value the strategic flexibility of the TF, without missing the simplicity of the binomial model and using the Edgeworth ´s transformation; Rubinstein (1998) for introducing stochastic higher moments. With this, it provides a tool for sensitivity the likelihood values of the skewness and curtosis for the underlying ´s stochastic process and the impact in the value of the strategies studied.

Keywords: Technological, binomial, skewness, curtosis, Edgeworth

 
 
 
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