Modelação de incertezas múltiplas em opções reais - aplicação à avaliação do investimento do novo transporte de alta velocidade ferroviário

06/15/2011

The problem of determining an optimum investment policy is notable, both for its practical financial consequences and for its mathematical relevance. In this work, we assume that the demand for a certain good or service follows a Brownian geometric motion with Poisson jumps and that the agent must determine the moment in which the investment will be made. Notice that this investment moment is consequence of a trade off between the investment costs (which, as we will see, are irreversible) and the expected future earnings from that investment. In particular, we analyze the optimal investment moment for the high speed transportation (the so called TGV). This case study is performed by using real option analysis, assuming a stochastic context. As we will see, determining the optimal investment moment can be regarded as a optimal stopping problem, and as such, we will use dynamic programming. At first, we assume a single stochastic process involved (the demand) and later we try to reason about the case where the investment expensed themselves are modeled by a stochastic process. The later situation - closer to the financial reality - allows us to consider interesting questions, like the correlation between the processes. The theoretical results are presented with the aid of simulations, allowing us, in some cases, to draw conclusions about the optimal investment policy in regard to the moment when it should be executed and the expenses associated with such decision.

Authors in the community:

• 

  I

  Iris Sofia Dourado Ferreira

  ist155698

Supervisors of this institution:

• 

  C

  Cláudia Rita Ribeiro Coelho Nunes Philippart

  ist12953

mathematics - Mathematics

eng - English

Instituto Superior Técnico