Avaliação das opções reais de conversão e abandono para uma mineradora de minério de ferro sob cenário de stress
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2015-05-29
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Gonçalves, Edson Daniel Lopes
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The iron ore market has gone through a period of stress in recent months. The slowdown of Chinese investments in infrastructure resulted in a negative outlook for the demand of this commodity. At the same time, the beginning of operations of new projects with significant production output increased the supply of this product. This scenario resulted in the decline of the iron ore prices in the global market and diminished returns to the mining industry. In this context, the purpose of this study is to evaluate the managerial flexibility available to managers of operating mining companies to suspend or close the operations depending on the iron ore prices. These decisions will be studied through the Theory of Real Options, where the switching option will be applied in the suspension and reopening situations for the mine and the abandonment option will be applied on the closing situation. The stochastic process to be followed by the iron ore prices will be the Geometric Brownian Motion, implemented through a Binomial Model as proposed by Cox, Ross and Rubinstein (1979). The result of the work proves the value of real options studied and indicates that these real options are more valuable in stress scenarios, when the iron ore price is undervalued.