ISSN: 0186-1042 ISSN-e: 2448-8410
Stochastic processes in the valuation of investment projects, real options, binomial trees, bootstrap simulation and Monte Carlo simulation: flexibility in decision making
Accounting & Management
Vol. 57 No. 2, Artículos de Investigación
Vol. 57 No. 2

Stochastic processes in the valuation of investment projects, real options, binomial trees, bootstrap simulation and Monte Carlo simulation: flexibility in decision making

Artículos de Investigación
https://doi.org/10.22201/fca.24488410e.2012.186
Published 2012-04-09
  • Fernando Cruz Aranda
Fernando Cruz Aranda
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Keywords

Stochastic process
historical simulation
Monte Carlo simulation
investment projects
binomial trees and real options

How to Cite

Cruz Aranda, F. (2012). Stochastic processes in the valuation of investment projects, real options, binomial trees, bootstrap simulation and Monte Carlo simulation: flexibility in decision making. Accounting & Management, 57(2). https://doi.org/10.22201/fca.24488410e.2012.186
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Abstract

This research incorporates stochastic processes in the valuation of investment projects using real options, which is linked to the value of managerial flexibility, that is, to use the option in order to make strategic decisions in line with the company’s economic environment. A project is valued taking into account the real option under which the company has the flexibility to abandon the project if the environment requires it. In the valuation of the project are considered cash flows of the company and bootstrap simulation, historical simulation and Monte Carlo simulation are carried out on them. We analyze and estimate cash flows considering binomial trees to finally determine the real option value and viability of the investment project of the company.
https://doi.org/10.22201/fca.24488410e.2012.186
PDF (Español (España))

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