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

• Autores: Samanéz, Carlos Patricio, Levi, Savio Henrique G
• Formato: artículo
• Fecha de Publicación: 1998
• Institución: Universidad Nacional Mayor de San Marcos
• Repositorio: Revistas - Universidad Nacional Mayor de San Marcos
• Lenguaje: español
• OAI Identifier: oai:revistasinvestigacion.unmsm.edu.pe:article/8885
• Enlace del recurso: https://revistasinvestigacion.unmsm.edu.pe/index.php/matema/article/view/8885
• Nivel de acceso: acceso abierto

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