Análise e gestão de projetos de investimento: uma aplicação da teoria das opções em projetos de exploração de recursos naturais
Data
1994-08-31
Autores
Orientador(res)
Puggina, Wladimir A.
Métricas
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Resumo
Under uncertainty, managerial control possibilities and project flexibility, the conventional capital budgeting methods which treat the pat tern of investment as fixed, ignore these intangibles and understate the value of the project. In this thesis, we applied and explorered the potentialities of option pricing theory to the analysis and managerial control· of exhaustible natural resources projects. Through the application of modern financial theory, option pricing theory, continuous time arbitrage techniques, stochastic optimal control theory and numerical methods, we developed an approach to value such projects and thus determine the optimal policies for developing, managing, and abandoning them. This approach yield the value of one project relative to the value of a portfolio of other traded securities, by finding a self-financing portfolio whose cash flows replicate those which are to be valued. This thesis uses contingent claims analysis to derive optimal decision rules and to value projects in which investment decisions and associated cash outlays occur sequentially over time. We further determine the effect of time to build and opportunity cost of retarding the project. Finally, the approach is applied to the analysis of a real gold mine project.