EXPLORAÇÃO DE PROJETOS DE RECURSOS NATURAIS: AVALIAÇÃO E GESTÃO PELA TEORIA DE ATIVOS CONTINGENTES E SIMULAÇÃO

Authors

  • Carlos Patricio Samanéz Pontifícia Universidade Católica do Rio de Janeiro - Rio de Janeiro - Brasil Universidade do Estado do Rio de Janeiro - Rio de Janeiro - Brasil.
  • Savio Henrique G Levi Pontifícia Universidade Católica do Rio de Janeiro - Rio de Janeiro - Brasil

DOI:

https://doi.org/10.15381/pes.v1i1.8885

Keywords:

análise econômica de projetos, opções reais, controle ótimo estocástico, finanças em tempo continuo,

Abstract

In this paper the valuation problems of forestry resources explotation projects under uncertainty are solved under arbitrage free arguments employed in a contingent cJaims analysis framework, and by calculating the Strategic-NPV. The existing managerial flexibility are modeled by a series of options related to investment timing; and to the choice of an optimal production policy. The leasehold valuation problems takes into account the economic uncertainty in the timber price and the technical uncertainty in the timber growth rate, both modeled through continuous time stochastic processes.Unfortunately, some of the developed mathematical models have no known analytical solutions. Results are then found by numerical aproximation of the Partial Diferential Equations using finite difference formulae, as welJ as, by direct numerical aproximation of the underlying stochastic processes using Monte Carlo símulalion. Thismethodology may be generally applied to value investments opportunities under uncertainty

Author Biographies

  • Carlos Patricio Samanéz, Pontifícia Universidade Católica do Rio de Janeiro - Rio de Janeiro - Brasil Universidade do Estado do Rio de Janeiro - Rio de Janeiro - Brasil.
    Professor do Departamento de Engenharia Industrial da PUCfRio e da Faculdade de CienciasEconomicas da UERJ.
  • Savio Henrique G Levi, Pontifícia Universidade Católica do Rio de Janeiro - Rio de Janeiro - Brasil
    Software Engineer - Fabrica Digital - Projeto Génesis - PUC/Rio

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Published

1998-07-15

Issue

Vol. 1 No. 1 (1998)

Section

Artículos

License

Copyright (c) 1998 Carlos Patricio Samanéz, Savio Henrique G Levi

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How to Cite

EXPLORAÇÃO DE PROJETOS DE RECURSOS NATURAIS: AVALIAÇÃO E GESTÃO PELA TEORIA DE ATIVOS CONTINGENTES E SIMULAÇÃO. (1998). Pesquimat, 1(1). https://doi.org/10.15381/pes.v1i1.8885