Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad
DOI:
https://doi.org/10.1016/j.estger.2015.03.004Keywords:
Red hospitalaria, Valoración financiera, Opciones reales, Volatilidad implícitaAbstract
El objetivo de este artículo es evaluar la posibilidad de expansión de una red integrada de servicios de salud mediante el uso de valoración por opciones reales. Para estimar el parámetro de volatilidad se estudian cuatro metodologías, dos de ellas son usadas en opciones reales las cuales se refieren a: Market Asset Disclaimer y Market Approach. Adicionalmente, las otras dos metodologías propuestas son empleadas en opciones financieras, las cuales son: volatilidad implícita del modelo de Merton y volatilidad implícita mediante Newton-Raphson. Los resultados muestran que la volatilidad estimada mediante las metodologías propuestas es similar a la obtenida por la metodología tradicional de Market Asset Disclaimer. La principal contribución de este artículo consiste en la construcción de la sonrisa de la volatilidad para opciones reales, que es fácil de implementar.
Downloads
References
Amram, M. y Kulatilaka, N. (1999). Real options: managing strategic investment in an uncertain world. Boston: Harvard Business School Press.
Andreasen, J. y Huge, B. (2013). Expanded forward volatility. Risk, 101–107. January.
Barone-Adesi, G. y Whaley, R. E. (1987). Efficient analytic approximation of american option values. Journal of Finance, 42(2), 301–320.
Black, F. y Cox, J. C. (1976). Valuing corporate securities: some effects of bond indenture provisions. Journal of Finance, 31(2), 351–367.
Brandao, L., Dyer, L. y Hahn, W. (2005a). Using binomial decision trees to solve realoption valuation problems. Decision Analysis, 2(2), 69–88.
Brandao, L., Dyer, L. y Hahn, W. (2005b). Response to comments on Brandao et al. Decision Analysis, 2(2), 103–109.
Brandao, L. E., Dyer, J. S. y Hahn, W. J. (2012). Volatility estimation for stochastic project value models. European Journal of Operational Research, 220(3), 642–648.
Brennan, M. J. y Trigeorgis, L. (2000). Real options: Development and new contributions. En M. J. Brennan y L. Trigeorgis (Eds.), Project flexibility, agency, and competition: new developments in theory and application of real options (pp. 1–10). New York: Oxford University Press.
Brenner, M. y Subrahmanyam, M. G. (1988). A simple formula to compute implied standard deviation. Financial Analyst Journal, 44(5), 80–83.
Boyarchenko, S. y Levendorskii, S. (2007). Irreversible decisions under uncertainty: optimal stopping made easy. Berlin: Springer.
Charitou, A., Dionysiou, D., Lambertides, N. y Trigeorgis, L. (2013). Alternative bankruptcy prediction models using option-pricing theory. Journal of Banking and Finance, 37(7), 2329–2341.
Chesney, M., Marois, B., Trillo, F. H. y Wojakowski, R. M. (2002). El manejo del riesgo cambiario: las opciones sobre divisas. México: Limusa-CIDE.
Chevalier-Roignant, B., Flath, C. M., Huchzermeier, A. y Trigeorgis, L. (2011). Strategic investment under uncertainty: A synthesis. European Journal of Operational Research, 215(3), 639–650.
Copeland, T. y Antikarov, V. (2001). Real options: A practitioner's guide. New York: TEXERE.
Corrado, C. J. y Miller, T. W., Jr. (1996). A note on a simple, accurate formula to compute implied standard deviations. Journal of Banking and Finance, 20(3), 595–603.
Cox, J., Ross, S. y Rubinstein, M. (1979). Option pricing: a simplified approach. Journal of Financial Economics, 7(3), 229–263.
Crank, J. y Nicholson, P. (1996). A practical method for numerical integration of solutions of partial differential equations of heat conduction type. Advances in Computational Mathematics, 6(1), 207–226.
Dixit, A. K. y Pindick, R. S. (1994). Investment under uncertainty. New Jersey: Princeton University Press.
Dupire, B. (1994). Pricing with a smile. Risk, 18–20. January.
Godinho, P. (2006). Monte Carlo estimation of project volatility for real option analysis. Journal of Applied Finance, 16(1), 15–30.
Hagan, P. Kumar, D., Lesniewski, A. y Woodward, D. (2002). Managing smile risk. Wilmott Magazine, 84-108.
Haug, E. (2006). The complete guide to option pricing formulas. New York: McGraw-Hill.
Heston, S. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 6(2), 327–343.
Herath, H. y Park, C. (2002). Multi-stage capital investment opportunities as compound real options. The Engineering Economist, 47(1), 1–27.
Hull, J. (2008). Options, futures, and other derivatives (7. th Edition). New Jersey: Prentice Hall.
Iacus, S. (2011). Option pricing and estimation of financial models with R. Chichester: John Wiley & Sons.
Kallapur, S. y Eldenburg, L. (2005). Uncertainty, real options, and cost behavior: evidence from Washington State Hospitals. Journal of Accounting Research, 43(5), 735–752.
Kienitz, J. y Wetterau, D. (2013). Financial modeling: Theory, implementation and practice with Matlab source. Chichester: John Wiley and Sons.
Krüger, N. A. y Svensson, M. (2009). The impact of real options on willingness to pay for mortality risk reductions. Journal of Health Economics, 28(3), 563–569.
Leland, H. (1994). Corporate debt value, bond covenants, and optimal capital structure. Journal of Finance, 49(4), 1213–1252.
Levaggia, R., Moretto, M. y Pertile, P. (2012). Static and dynamic efficiency of irreversible health care investments under alternative payment rules. Journal of Health Economics, 31(1), 169–179.
Lewis, A. (2000). Option valuation under stochastic volatility. California: Finance Press.
Lipton, A. (2002). The vol smile problem. Risk, 61–65. February.
Longstaff, F. A. y Schwartz, E. S. (2001). Valuing American options by simulation: a simple least - squares approach. Review of Financial Studies, 14(1), 113–148.
Merton, R. C. (1974). On the pricing of corporate debt: the risk structure of interest rates. Journal of Finance, 29(2), 449–470.
Metcalf, G. E. y Hasset, K. A. (1995). Investment under alternative return assumptions comparing random walks and mean reversion. Journal of Economic Dynamics and Control, 9(8), 1471–1488.
Obloj, J. (2008). Fine-tune your smile: Correction to Hagan et al. Wilmott Magazine, 1–4. May.
Organización Panamericana de la Salud. (2010). Redes Integradas de Servicios de Salud: Conceptos, Opciones de Política y Hoja de Ruta para su Implementación en las Américas. Organización Mundial de la Salud OMS. [consultado 2 Abr 2014]. Disponible en: http://www.paho.org/uru/index2.php?option=comdocmantask=docviewgid=145Itemid=250.
Ozorio, L.M., Bastian-Pinto, C.L. y Brandao, L.E. (2012). The Choice of Stochastic Process in Real Option Valuation. [consultado 9 Ene 2015]. Disponible en: http://realoptions.org/openconf2012/data/papers/49.pdf.
Paulot, L. (2009). Asymptotic implied volatility at the second order with application to the SABR model. SSRN eLibrary. [consultado 2 Abr 2014]. Disponible en: http://ssrn.com/abstract=1413649.
Palmer, S. y Smith, P. C. (2000). Incorporating option values into the economic evaluation of health care technologies. Journal of Health Economics, 19(5), 755–766.
Pertile, P. (2009). An extension of the real option approach to the evaluation of health care technologies: the case of positron emission tomography. International Journal of Health Care Finance and Economics, 9(3), 317–332.
Rebonato, R., McKay, K. y White, R. (2009). The SABR/LIBOR market model: Pricing, calibration, and hedging for complex interest-rate derivatives. Chichester: John Wiley and Sons.
Schwartz, E. S. y Trigeorgis, L. (2004). Real options and investment under uncertainty: classical readings and recent contributions. Cambridge: MIT Press.
Seydel, R. (2012). Tools for computational finance (5. th Edition). Berlin: Springer.
Sick, G. (1995). Real options. En R. Jarrow, V. Maksimovic, y W. Ziemba (Eds.), Handbook of operations research and management science: finance (pp. 631–691). Amsterdam: North Holland.
Skinner, L. A. (2011). Singular perturbation theory. New York: Springer.
Smith, J. E. (2005). Alternative approaches for solving real-options problems: (Comment on Brandao et al., 2005). Decision Analysis, 2(2), 89–102.
Sundaresan, S. (2013). A review of Merton's model of the firm's capital structure with its wide applications. Annual Review of Financial Economics, 5, 21–41.
Trigeorgis, L. (1996). Real options: managerial flexibility and strategy in resource allocation. Cambridge: MIT Press.
Williams, D., Hammes, P. y Karahalis, G. (2007). Real options reasoning in healthcare: an integrative approach and synopsis. Journal of Healthcare Management, 52(3), 170–186
Downloads
Published
Issue
Section
License
Articles are the sole responsibility of their authors, and will not compromise Icesi’s University principles or policies nor those of the Editorial Board of the journal Estudios Gerenciales. Authors authorize and accept the transfer of all rights to the journal, both for its print and electronic publication. After an article is published, it may be reproduced without previous permission of the author or the journal but the author(s), year, title, volume, number and range of pages of the publication must be mentioned. In addition, Estudios Gerenciales must be mentioned as the source (please, refrain from using Revista Estudios Gerenciales).
How to Cite
