Opções reais e interações com a flexibilidade financeira

Trigeorgis, Lenos

Resumos

Este estudo tem dois objetivos principais. Primeiro, fornece um panorama abrangente da literatura e das aplicações existentes em opções reais, apresentando princípios práticos para a quantificação do valor das opções reais. Segundo, dá um primeiro passo para ampliar a literatura sobre opções reais para que ela reconheça interações com a flexibilidade financeira. A revisão da literatura acompanha a evolução da revolução das opções reais com base em desdobramentos temáticos que tratam das críticas iniciais, das abordagens conceituais, das bases e blocos componentes, da valoração neutra em relação ao risco e do ajuste ao risco, das contribuições analíticas da valoração de diferentes opções separadamente, das interações entre opções, das técnicas numéricas, das opções competitivas e estratégicas, das diversas aplicações e da direção da pesquisa no futuro.

Opções reais; valoração de opções reais; flexibilidade financeira; valor presente líquido; fluxo de caixa descontado

This paper has two main goals. First, it provides a comprehensive overview of the existing real options literature and applications, and presents practical principles for quantifying the value of various real options. Second, it takes a fi rst step towards extending the real options literature to recognize interactions with fi nancial fl exibility. The comprehensive literature review traces the evolution of the real options revolution, organized around thematic developments covering the early criticisms, conceptual approaches, foundations and building blocks, risk-neutral valuation and risk adjustment, analytic contributions in valuing different options separately, option interactions, numerical techniques, competition and strategic options, various applications, and future research directions.

Real options; real option valuation; financial flexibility; net present value; discounted cash-flow

RAE CLÁSSICOS

O pções reais e interações com a flexibilidade financeira

Lenos Trigeorgis

University of Cyprus

RESUMO

Este estudo tem dois objetivos principais. Primeiro, fornece um panorama abrangente da literatura e das aplicações existentes em opções reais, apresentando princípios práticos para a quantificação do valor das opções reais. Segundo, dá um primeiro passo para ampliar a literatura sobre opções reais para que ela reconheça interações com a flexibilidade financeira. A revisão da literatura acompanha a evolução da revolução das opções reais com base em desdobramentos temáticos que tratam das críticas iniciais, das abordagens conceituais, das bases e blocos componentes, da valoração neutra em relação ao risco e do ajuste ao risco, das contribuições analíticas da valoração de diferentes opções separadamente, das interações entre opções, das técnicas numéricas, das opções competitivas e estratégicas, das diversas aplicações e da direção da pesquisa no futuro.

Palavras-chave: Opções reais, valoração de opções reais, flexibilidade financeira, valor presente líquido, fluxo de caixa descontado.

ABSTRACT

This paper has two main goals. First, it provides a comprehensive overview of the existing real options literature and applications, and presents practical principles for quantifying the value of various real options. Second, it takes a fi rst step towards extending the real options literature to recognize interactions with fi nancial fl exibility. The comprehensive literature review traces the evolution of the real options revolution, organized around thematic developments covering the early criticisms, conceptual approaches, foundations and building blocks, risk-neutral valuation and risk adjustment, analytic contributions in valuing different options separately, option interactions, numerical techniques, competition and strategic options, various applications, and future research directions.

Key words: Real options, real option valuation, financial flexibility, net present value, discounted cash-flow.

Texto completo disponível apenas em PDF.

Full text available only in PDF format.

Aprovado em 02.04.2007.

Lenos Trigeorgis

Professor de Finanças do Department of Public and Business Administration, Faculty of Economics and Management, University of Cyprus.

Interesses de pesquisa nas áreas de fi nanças corporativas, estrutura de capital, opções e futuros, competição e estratégia.

E-mail: lenos@ucy.ac.cy

Endereço: P. 0. Box 20537, CY-1678, Nicosia (Lefkosia) â Cyprus.

Artigo convidado.

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Datas de Publicação

Publicação nesta coleção
26 Nov 2012
Data do Fascículo
Set 2007

This work is licensed under a Creative Commons Attribution 4.0 International License.

[1] AGGARWAL. R. Justifying investment in flexible manufacturing technology. Managerial Finance, v. 17, n. 2/3, p. 77-85, maio 1991.

[2] ANG, J. S.; DUKAS, S. Capital budgeting in a competitive environment. Managerial Finance, v. 17, n. 2/3, p. 6-15, maio 1991.

[3] BALDWIN, C. Optimal sequential investment when capital is not readily reversible. Journal of Finance, v. 37, v. 2, p. 763-782, jun. 1982.

[4] BALDWIN, C. Competing for capital in a global environment. Midland Corporate Finance Journal, v. 5, n. 1, p. 43-64, spring, 1987.

[5] BALDWIN, C.; CLARK, K. Capabilities and capital investment: new perspectives on capital budgeting. Journal of Applied Corporate Finance, v. 5, n. 2, p. 67-87, summer, 1992.

[6] BALDWIN, C.; CLARK, K. Modularity and real options Working paper, Harvard Business School, Boston, Massachusets, 1993.

[7] BALDWIN, C.; RUBACK, R. Inflation, uncertainty, and investment. Journal of Finance, v. 41, n. 3, p. 657-669, jul. 1986.

[8] BALDWIN, C.; TRIGEORGIS, L. Toward remedying the underinvestment problem: competitiveness real options, capabilities, and TQM. Working paper n. 93-025. Harvard Business School, Boston, Massachusets, 1993.

[9] BARONE-ADESI, G.; WHALEY, R. Efficient analytic approximation of America option values. Journal of Finance, v. 42, n. 2, p. 301-320, jun. 1987.

[10] BELL, G. Volatile exchange rates and the multinational finn: entry, exit, and capacity options. In: TRIGEORGIS, L. (Ed.). Real Options in Capital Investment: new contributions New York: Praeger, 1993.

[11] BJERKSUND, P.; EKEM, S. Managing investment opportunities under price uncertainty: from 'last chance' to 'wait and see' strategies. Financial Management, p. 65-83, autumn, 1990.

[12] BJERKSUND, P.; EKERN, S. Contingent claims evaluation of mean- 35. Reverting cash flows in shipping. In: TRIGEORGIS, L. (Ed.). Real Options in Capital Investment: new contributions New York: Praeger, 1993.

[13] BLACK, F.; SCHOLES, M. The pricing of options and corporate liabilities. Journal of Political Economy, v. 81, n. 3, p. 637-659, maio/jun. 1973.

[14] BOYLE, P. Options: a Monte Carlo approach. Journal of Financial Economics, v. 4, n. 3, p. 323-338, mai. 1977.

[15] BOYLE, P. A Lattice framework for pricing de options with two state variables. Journal of Financial and Quantitative Analysis, v. 23, n. 1, p. 1-12, mar. 1985.

[16] BREALEY, R.; MYERS, S. C. Principles of Corporate Finance. 4th Ed. New York: McGraw-Hill, 1991. Cap. 21.

[17] BRENNAN, M. The pricing of contingent claims in discrete time models. Journal of Finance, v. 34, n. 1, p. 53-68, mar. 1979.

[18] BRENNAN, M.; SCHWARTZ, B. Finite difference methods and jump processes arising in the pricing of contingent claims: a synthesis. Journal of Financial and Quantitative Analysis, v. 13, n. 3, p. 461-474, set. 1978.

[19] BRENNAN, M.; SCHWARTZ, E. Evaluating natural resource investments. Journal of Business, v. 58, n. 2, p. 135-157, abr. 1985.

[20] BRENNAN, M.; SCHWARTZ, E. A new approach to evaluating natural resource investments. Midland Corporate Finance Journal, v. 3, n. 1, p. 37-47, spring, 1985.

[21] CAPOZZA, D.; SICK, G. Risk and return in land markets. Working paper. British Columbia, Canadá: University of British Columbia, 1992.

[22] CARR, P. The valuation of sequential exchange opportunities. Journal of Finance, v. 43, n. 5, p. 1235-1256, dez. 1988.

[23] CHUNG, K.; CHAROENWONG, C. Investment options, assets in place, and the risk of stocks. Financial Management, v. 20, n. 3, p. 21-33, autumn, 1991.

[24] CONSTANTINIDES, G. Market risk adjustment in project valuation. Journal of Finance, v. 33, n. 2, p. 603-616, mai. 1978.

[25] COPELAND, T.; WESTON, J. F. A note on the evaluation of cancelable operating leases. Financial Management, v. 11, n. 2, p. 60-67, summer, 1982.

[26] COX, J.; ROSS, S. The valuation of options for alternative stochastic processes. Journal of Financial Economics, v. 3, n. 1, p. 145-166, jan. 1976.

[27] COX. J.; ROSS, S.; RUBINSTEIN, M. Options pricing: a simplified approach. Journal of Financial Economics, v. 7, n. 3, p. 229-263, set. 1979.

[28] COX, J.; INGERSOLL, J.; ROSS, S. An intertemporal general equilibrium model of asset prices. Econometrica, v. 53, n. 2, p. 363-384, mar. 1985.

[29] DEAN, J. Capital Budgeting New York: Columbia University Press, 1951.

[30] DIXIT, A. Entry and exit decisions under uncertainty. Journal of Political Economy, v. 97, n. 3, p. 620-638, jun. 1989.

[31] GESKE, R. The valuation of compound options. Journal of Financial Economics, v. 7, n. 1, p. 63-81, mar. 1979.

[32] GESKE, R.; JOHNSON, H. The American put option valued analytically. Journal of Finance, v. 39, n. 5, p. 1511-1524, dez. 1984.

[33] GESKE, R.; SHASTRI, K. Valuation by approximation: a comparison of alternative option valuation techniques. Journal of Financial and Quantitative Analysis, v. 20, n. 1, p. 45-71, mar. 1985.

[34] HARRISON, J. M.; KREPS, D. M. Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, v. 20, n. 3, p. 381- 408, jun. 1979.

[35] HAYES, R.; ABERNATHY, W. Managing our way to economic decline. Harvard Business Review, v. 58, n. 4, p. 66-77, jul./ago. 1980.

[36] HAYES, R.; GARVIN, D. Managing as if tomorrow mattered. Harvard Business Review, v. 60, n. 3, p. 71-79, mai./jun. 1982.

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