Abstract

MILANESI, Gastón S.. Fuentes de incertidumbre, probabilidades condicionales y la opción de abandono en activos reales. Escr. Contab. Adm. [online]. 2011, vol.2, n.1, pp. 43-71. ISSN 1853-2055.

The real options approach captures the strategic flexibility of the investment in real assets, being the binomial model the tool for its valuation. Whit various sources of uncertainty about the value of the real asset, the model is polynomial. This paper proposes a framework for value the strategic flexibility of an investment with many sources of uncertainty. The main points are: (a) introduction of the real options approach and the valuation tools: binomial and multinomial lattice, (b) inputs for the treatment of the uncertainty, building lattice and real options valuation: Bayes' Theorem, Geometric Brownian Motions and certain equivalents, (c) overall framework of five steps for the implementation of the valuation method: Case of application: valuation of the abandonment option on a research and development project (R&D); assuming correlated and uncorrelated stochastic variables (incomes and costs).

Keywords : Real options; Multinomial lattices; Bayes' Theorem; Geometric Brownian Motion; Conditional probabilities.