Modelo de opciones reales y aplicación al Mercado petrolero

Adrian Hernández Del Valle, Claudia Icela Martínez García

Research output: Contribution to journalArticle

Abstract

We build a Conditional Real Options model VORC which allows for cashflows to be probabilistic and contingent on the average behavior of an external variable; and we apply our model to the crude oil market where the inflows on an investment project are contingent on the state of the base - the difference between the futures contract on an underlying asset and it's price for immediate delivery at present (or spot price) -. Our main result is that the VORC is a better criteria when evaluating projects with conditional, stochastic cashflows.
Original languageAmerican English
Pages (from-to)329-348
Number of pages294
JournalTrimestre Economico
StatePublished - 1 Apr 2007

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Petroleum
Contracts
Cash flow
Investment project
Spot price
Real options
Assets
Futures contracts
Crude oil
Oil markets

Cite this

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Modelo de opciones reales y aplicación al Mercado petrolero. / Hernández Del Valle, Adrian; Martínez García, Claudia Icela.

In: Trimestre Economico, 01.04.2007, p. 329-348.

Research output: Contribution to journalArticle

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