Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/286158 
Title (translated): 
Real options volatility: Literature review and a case of application in the Colombian oil sector
Year of Publication: 
2019
Citation: 
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 27 [Year:] 2019 [Pages:] 136-155
Publisher: 
Universidad Pablo de Olavide, Sevilla
Abstract (Translated): 
The aim of this article is to summarize exhaustively and concisely, the different methodologies for estimating the volatility that has been proposed for the real options approach (ROA), and also provide a theoretical and practical explanation for estimating an unbiased volatility and unconditional for this methodology. The results of the research suggest that the use of the current methods generates a marked overestimation of the volatility, which is ultimately transmitted in the overvaluation of the real option. In this way, the application of the unbiased estimation method is used to determine its impact on decision-making for a real project in the oil and gas sector in Colombia, in which its strategic value was estimated through the use of real options, and it was compared with the static result obtained by the method of discounted cash flows (DCF); as a result it was found that, it is generated an additional value not perceived by the traditional methodology, that is consistent with the respective volatility that was generated by the commodity. It is proposed that for future research, unbiasedness condition is maintained, but that the estimate is conditional through econometric models, in order to emulate the irregularities and empirical characteristics presented in the financial series using, for example, an appropriate system of stochastic differential equations, as required condition for the performance of price, and the volatility of the underlying asset.
Subjects: 
business valuation
discounted cash flow
real options
volatility
JEL: 
G3
G17
G32
G39
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-sa Logo
Document Type: 
Article

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