Opción real de diferir un proyecto de inversión

Monografías de Juan Mascareñas sobre Finanzas Corporativas
ISSN: 1988-1878
33 Opción real de diferir un proyecto de inversión
Opción real de diferir un proyecto
de inversión
© Juan Mascareñas
Universidad Complutense de Madrid
Primera versión: ene 1994 - Última versión: feb 2013
- Introducción, 1
- Costes, 2
- Ejemplo I, 4
- Ejemplo II, 9
- La opción de aprendizaje, 11
- Bibliografía, 15
- Ejercicios, 16
Monografías de Juan Mascareñas sobre Finanzas Corporativas
ISSN: 1988-1878
33 Opción real de diferir un proyecto de inversión
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Monografías de Juan Mascareñas sobre Finanzas Corporativas
ISSN: 1988-1878
33 Opción real de diferir un proyecto de inversión
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Monografías de Juan Mascareñas sobre Finanzas Corporativas
ISSN: 1988-1878
33 Opción real de diferir un proyecto de inversión
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Monografías de Juan Mascareñas sobre Finanzas Corporativas
ISSN: 1988-1878
33 Opción real de diferir un proyecto de inversión
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Monografías de Juan Mascareñas sobre Finanzas Corporativas
ISSN: 1988-1878
33 Opción real de diferir un proyecto de inversión
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5
Monografías de Juan Mascareñas sobre Finanzas Corporativas
ISSN: 1988-1878
33 Opción real de diferir un proyecto de inversión
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6
Monografías de Juan Mascareñas sobre Finanzas Corporativas
ISSN: 1988-1878
33 Opción real de diferir un proyecto de inversión
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7
Monografías de Juan Mascareñas sobre Finanzas Corporativas
ISSN: 1988-1878
33 Opción real de diferir un proyecto de inversión
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8
Monografías de Juan Mascareñas sobre Finanzas Corporativas
ISSN: 1988-1878
33 Opción real de diferir un proyecto de inversión
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//$!<8%!)$%:$/!()!?/'&#42'!<(!?8(/&(!#%!-a!&()!G$)'/!$42#$)!&()!98<9'!(%!(<(!$*'.!@<!?#(<!
#%$!'?48B%!&(!4'9?/$!&(!28?'!;(/9#&$!?#(<2'!D#(!<#!?/'?8(2$/8'!?#(&(!&(48&8/!(=(/4(/)$!
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%(<!&(!(#/'<!SI]Z!T!+[ZU!)'!D#(!&(!?'/!<3!N$/3$!$4'%<(=$;)(!)$!8%G(/<8B%!<8%'!H#(/$!?'/!()!$)2'!
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&()!?/'0(42'U!&#/$%2(!)'<!?/BM89'<!&'<!$*'<!&(!$4#(/&'!$)!G$)'/!&(!<#!/8(<A'.!@)!4'(H848(%2(!
$%#$)!&(!$<4(%<'!P!i!(Z>``!i!+>jYYY!98(%2/$<!D#(!R!i!+kP!i!Z>`j,].!@%!)$!H8A#/$!,!?#(&(!G(/I
<(!&84N$!(G')#48B%!(%!)$!D#(!<(!?#(&(!$?/(48$/!4'9'!?'/!4$&$!$*'!D#(!<(!/(2/$<(!<#!(=(4#I
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)8:$!(%!()!?/89(/!$*'!()!4'<2(!$<4(%&(/O!$!]Z!M!+>Z`!i!]\>`!98))'%(<!&(!(#/'<>!98(%2/$<!D#(!
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!
9
Monografías de Juan Mascareñas sobre Finanzas Corporativas
ISSN: 1988-1878
33 Opción real de diferir un proyecto de inversión
!
b8A.!,!
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10
Monografías de Juan Mascareñas sobre Finanzas Corporativas
ISSN: 1988-1878
33 Opción real de diferir un proyecto de inversión
VAN+1 =
!
&'%&(!?!(<!8A#$)!$J!
!
!
p =
205,905 x p + 2,345 x (1 - p)
= 79,71 !
1,03
(1 + rf ) - D
1,03 - 0,5769
=
= 0,3918 !
U - D
1,7333 - 0,5769
!
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/8'/!$)!G$)'/!&(!?'<2?'%(/)$!Sj]>j+!98))'%(<U!2$)!0!4'9'!<(!$?/(48$!(%!)$!H8A#/$!j.!78%!(9;$/I
!
A'>!)$!&(48<8B%!(<!)$!'?#(<2$!<8!()!G$)'/!&()!?/'0(42'!(%!()!?/89(/!$*'!(<!&(!,Y>jZ!98))'%(<!
?'/D#(! ()! 61X! <(/O! %(A$28G'! S%'! <(! /($)8:$/O! ()! ?/'0(42'U>! 98(%2/$<! D#(! ?'<2?'%(/)$! $)!
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2(<!?/';$;8)8&$&(<!%(#2/$)(<!$)!/8(<A'!0!&(<4'%2$&'<!$)!28?'!&(!8%2(/E<!<8%!/8(<A'!';2(%&/(I
9'<!()!61X!2'2$)!&()!?/'0(42'J!
!
96,85 x p + 0,89 x (1 - p)
VAN total =
= 37,37 !
1,03
!
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48B%>!?'/!(=(9?)'U!0!#28)8:$/!)'!D#(!N$!$?/(%&8&'!4'%!';=(2'!&(!4$)4#)$/!9(='/!)$!&(9$%&$!&(!
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11
Monografías de Juan Mascareñas sobre Finanzas Corporativas
ISSN: 1988-1878
33 Opción real de diferir un proyecto de inversión
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12
Monografías de Juan Mascareñas sobre Finanzas Corporativas
ISSN: 1988-1878
33 Opción real de diferir un proyecto de inversión
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13
Monografías de Juan Mascareñas sobre Finanzas Corporativas
ISSN: 1988-1878
33 Opción real de diferir un proyecto de inversión
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1,2252 - 0,8162
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7
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8
14
Monografías de Juan Mascareñas sobre Finanzas Corporativas
ISSN: 1988-1878
33 Opción real de diferir un proyecto de inversión
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!
15
Monografías de Juan Mascareñas sobre Finanzas Corporativas
ISSN: 1988-1878
33 Opción real de diferir un proyecto de inversión
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16
Monografías de Juan Mascareñas sobre Finanzas Corporativas
ISSN: 1988-1878
33 Opción real de diferir un proyecto de inversión
(%![\!98))'%(<!&(!(#/'<!4'%!#%$!&(<G8$48B%!23?84$!&()!,[a!$%#$).!@)!4'<2(!&()!?/'0(42'!$<48(%&(!
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17