PARA MEDIR LA FLEXIBILIDAD SE DEBEN USAR OPCIONES REALES: UNA VISIÓN GLOBAL (Article published in Spanish)

Abstract

Recently, practitioners and academics have made the argument tha traditional discounted cash flow models (DCF) do not a good job of capturing the value of the options embedded in many corporate actions. They have noted that these options need to be not only considered explicitly and valued, but also the flexibility and the variables in the operations. An option provides the holder with the right to buy or sell a specified quantity of an underlying asset at a fixed price (called a strike price or an exercise price) at or before the expiration date of the option. Since it is a right and not an obligation, the holder can cose not to exercise the right and allow the option to expire. There are two types of options-call options and put options. Option pricing theory has made vast strides since 1972, when Black and Acholes published their path-breaking paper providing a model for valuing dividend-protected European options. Black and Scholes used a "replicating portfolio" -a portfolio composed of the underlying asset and the risk-free asset that had the same cash flows as the option being valued- to come up with their final formulation. While their derivation is mathematically complicated, there is a simpler binomial model for valuing options that draws on the same logic. In traditional investment analysis, a project or new investment should be accepted only if the returns on the project exceed the hurdle rate; in the context of cash flows and discount rates, this translates into projects with positive net present values. The limitation with this view of the world, which analyzes projects on the basis of expected cash flows and discount rates, is that it fails to consider fully the myriad options that are usually associated with many investments, and this is the work of the real options.