Opción real de diferir un proyecto de inversión

Transcripción

1 Opción real de diferir un proyecto de inversión Juan Mascareñas Universidad Complutense de Madrid Primera versión: ene Última versión: feb Introducción, 1 - Costes, 2 - Ejemplo I, 4 - Ejemplo II, 9 - La opción de aprendizaje, 11 - Bibliografía, 15 - Ejercicios, 16

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12 &'%&(?(<8A#$)$J VAN 1 + = p = (1 + r f ) - D U - D 205,905 x p + 2,345 x (1 -p) 1,03 = 11 = 79,71 1,03-0,5769 1,7333-0,5769 = 0,3918 (<&(48/>()(A8/O/($)8:$/()?/'0(42'?'/D#(()G$)'/&((<$&(48<8B%S],>-`98))'%(<U(<<#?(I /8'/$)G$)'/&(?'<2?'%(/)$Sj]>j+98))'%(<U2$)04'9'<($?/(48$(%)$H8A#/$j.78%(9;$/I A'>)$&(48<8B%(<)$'?#(<2$<8()G$)'/&()?/'0(42'(%()?/89(/$*'(<&(,Y>jZ98))'%(<?'/D#( () 61X <(/O %(A$28G' S%' <( /($)8:$/O ()?/'0(42'U> 98(%2/$< D#(?'<2?'%(/)$ $) <8A#8(%2($*'G$)(Z>-]98))'%(<&((#/'<. "'%)'<&'<G$)'/(<&(],>-`98))'%(<0Z>-]98))'%(<9#)28?)84$&'<?'/<#<4'//(<?'%&8(%I 2(<?/';$;8)8&$&(<%(#2/$)(<$)/8(<A'0&(<4'%2$&'<$)28?'&(8%2(/E<<8%/8(<A'';2(%&/(I 9'<()61X2'2$)&()?/'0(42'J VAN total = 96,85 x p + 0,89 x (1 -p) 1,03 = 37,37 7$;8(%&'D#(()61X;O<84'&()?/'0(42'(<&(YZ98))'%(<&((#/'<()G$)'/&()$'?48B%&( &8H(/8/)'>#%''&'<$*'<>(<8A#$)$)$&8H(/(%48$(%2/(()61X2'2$)0()61X;O<84'>(<&(48/> j>yj98))'%(<&((#/'<.?"#4@#(3+$,%#)/#@3'/%)$ 4@#(3+$,%#)/#@3'/%)$A@1/ A@1/ c$g$)'/$48b%&()$'?48b%&(&8h(/8/%'<&84(4#o%2'g$)(()&(/(4n'$/(2/$<$/)$/($)8:$48b% &(#%?/'0(42'&(8%G(/<8B%.78%(9;$/A'>N$0'2/$'?48B%D#(%'<&84(4#O%2'G$)(/($)8:$/ $N'/$98<9'#%$?(D#(*$?$/2(&()?/'0(42'>$)$D#(4'%'4(9'<4'9'<'%&('#'?48B% &($?/(%&8:$=(.Q;G8$9(%2(>(<2$V)289$'?48B%/(<2$G$)'/$)$'?48B%&(&8H(/8/. c$ "#$%&' ()',"+)&($4,5)<#/A( 4#$%&' #%$ (9?/(<$ <( (%4#(%2/$ $%2( )$?'<8;8)8&$& &( 8%G(/28/&8%(/'4'%';=(2'&($4()(/$/)$$&D#8<848B%&(4'%'4898(%2''8%H'/9$48B%S/(&#48/ ()&(<H$<(2(4%')BA84'(%5TR'$G(/8A#$/)$4$%28&$&&(98%(/$)&8<?'%8;)((%#%$(M?)'2$I 48B%>?'/(=(9?)'U0#28)8:$/)'D#(N$$?/(%&8&'4'%';=(2'&(4$)4#)$/9(='/)$&(9$%&$&( <#?/'&#42'0>?'/2$%2'>/(428H84$/'4'%H8/9$/<#<(M?(42$28G$<$4(/4$&()'<H)#='<&(4$=$?/(G8<2'<.c$(9?/(<$&(;(4'%2/$?'%(/()G$)'/&()$'?48B%?$/$$42#$/4'%)$8%H'/9$48B% ';2(%8&$4'%2/$()4'<2(&($&D#8/8/E<2$V)289$. C'/(=(9?)'>)$<(9?/(<$<98%(/$<28(%(%D#(&(48&8/4#O%&'&(<$//'))$/)$<?/'?8(&$&(< D#(?'<((%04#O%2''H/(4(/?'/()&(/(4N'$&(<$//'))$/?/'?8(&$&(<$&848'%$)(<.R84N$<

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