Abstract

MILANESI, Gastón S.. Opciones reales y función isoelástica de utilidad para valuar I&D e intangibles. Escr. Contab. Adm. [online]. 2015, vol.6, n.2, pp. 81-109. ISSN 1853-2055.

This paper proposes a model that incorporates risk preferences with isoelastic utility functions (CRRA) into the binomial model, from the individual investor's perspective. First, the main notions of utility functions, risk aversion coefficients and isoelastic utility function are presented. Then, the group of equations related to the model is developed, applying them on a biopharmaceutical project with sequential options and, at the same time, an analysis of sensitivity of the risk aversion coefficient and the option value is performed. Finally, it is concluded that the developed model contributes to decision-making because it captures strategic flexibility through real options and it adjusts to the individual degree of risk aversion through isoelastic utility function.

Keywords : Real Options; Isoelastic Utility Function; Risk Aversion Coefficient..