Use este identificador para citar ou linkar para este item:
Autor: Joaquim, Maísa Santos
Souza, Álvaro Nogueira de
Souza, Sandro Nogueira de
Pereira, Reginaldo Sérgio
Angelo, Humberto
Palavras-chave: Risk Analysis, Economic Analysis, Forest Economy.
Publicador: CERNE
Data: 19-Abr-2016
Outras Identificações :
Descrição: In this study we compared the values generated by traditional economic analysis (Net Present Value - NPV) with Real Options Method. The objective was to apply the method proposed by Copeland & Antikarov for rainbow options, due to three stochastic variables selected with decision of abandonment if the project value with flexibility was less than the value of the underlying stock. It enabled the flexibility value generation in order to entrepreneurs to have more confidence in their decision when they are investing in a project with Agroforestry System, with different scenarios visualization in a single analysis. The results evidenced that the economic viability analysis, using Real Options, provided the best view of the possible scenarios, within a range generated by the prices volatility. The Net Present Value adopted as the underlying stock value was R$ 5,684.32, using the discount rate (WACC) of 9.95% and risk-free interest rate of 7.5%. To determine the volatility were calculated: the logarithmic return standard deviation (27.06), the average (0.0883), upward movements values (u) (1.3107) with 61.34% of probability and downward movements values (d)(0.7628) with 38.66% of probability. The option value in case of abandonment was R$ 2,059.01/ha positive. The results showed that the NPV overestimated the project return and that it would be viable to abandon it.
Idioma: eng
Aparece nas coleções:CERNE

Arquivos associados a este item:
Não existem arquivos associados a este item.

Os itens no repositório estão protegidos por copyright, com todos os direitos reservados, salvo quando é indicado o contrário.