Contribuições da Análise de Opções Reais na Avaliação de Projetos de Investimento

Rui Oliveira, Cristina Viegas

Abstract


Este trabalho desenvolve um modelo de avaliação de um projeto de investimento com opção de diferimento, sendo testada a sua validade através da aplicação a um exemplo numérico, o caso do investimento num novo aeroporto em Lisboa.

 

As fórmulas desenvolvidas no presente trabalho permitem determinar o valor de um projeto de investimento com opção de diferimento, tendo por base um conjunto de pressupostos. Assim, considera-se que os fluxos de caixa do projeto são obtidos com base em variáveis (estocásticas e determinísticas) e que o valor do investimento é fixo. Mais, pressupõe-se que as variáveis estocásticas seguem um movimento geométrico Browniano. É, ainda, possível obter o valor crítico para as variáveis do modelo, isto é, o valor a partir do qual é ótimo exercer a opção de diferimento, ou seja, avançar com o projeto.

 

Os resultados obtidos com o exemplo numérico permitem concluir que o modelo aqui proposto apresenta resultados que são coerentes com a realidade financeira, sendo possível verificar qual o impacto que as alterações nas diversas variáveis do modelo têm no valor do projeto e no momento ótimo de avançar com o investimento.


Keywords


Investimento, Análise de Opções Reais, Opção de Diferimento, Incerteza e Momento Ótimo de Investimento

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