Geometric Brownian Motion
Mostrando 1-12 de 13 artigos, teses e dissertações.
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1. Evaluation of an iron ore price forecast using a geometric Brownian motion model
Abstract Mining projects are often budgeted in millions of dollars, making it of interest to the investor to measure a project’s uncertainties and risks, which include the changes in the commodity price. The simulation of asset prices is valid because it enables displaying, with a degree of certainty, the future behavior of a financial asset. One of the mo
REM, Int. Eng. J.. Publicado em: 2019-03
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2. TIMING EVALUATION FOR IPOS: A REAL OPTIONS APPROACH WITH SIMULATION / AVALIAÇÃO DO TIMING DA ABERTURA DE CAPITAL: UMA ABORDAGEM PELA TEORIA DE OPÇÕES REAIS E SIMULAÇÃO
O objetivo deste trabalho é determinar o melhor timing para a abertura de capital de empresas fechadas. Empresas fechadas detêm a opção de abertura de capital por tempo indeterminado deixando a decisão nas mãos do empreendedor ou do corpo administrativo. A aplicação da teoria de opções reais neste contexto tem como objetivo valorar a flexibilidade
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 13/08/2012
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3. On the prediction of psd in antisolvent mediated crystallization processes based on fokker-planck equations
A phenomenological model for the description of antisolvent mediated crystal growth processes is presented. The crystal size growth dynamics is supposed to be driven by a deterministic growth factor coupled to a stochastic component. Two different models for the stochastic component are investigated: a Linear and a Geometric Brownian motion terms. The evolut
Brazilian Journal of Chemical Engineering. Publicado em: 2010-09
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4. Analise das Opões reais de um empreendimento de mineração utilizando simulação de Monte carlo
Mining projects demand large capital expenditure and are subject to high uncertainty, related to metal price and exchange rate. In this context, the traditional Discounted Cash Flow analysis tends to underestimate the value of the project. Real Options Analysis incorporates the value of managerial flexibility in uncertain conditions and, therefore, is a bett
Publicado em: 2008
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5. PRECIFICATION OF MANAGERIAL FLEXIBILITY IN GTL PLANTS USING THE METHODOLOGY OF REAL OPTIONS / PRECIFICAÇÃO DE FLEXIBILIDADES GERENCIAIS EM PLANTAS GTL UTILIZANDO A METODOLOGIA DE OPÇÕES REAIS
O objetivo da presente dissertação é capturar o valor da opção de parada temporária que uma planta GTL oferece em cenários econômicos desfavoráveis para mantê-la operando. Desta forma, o autor considera que a metodologia das opções reais é a mais indicada para avaliar tal flexibilidade, sendo assim, o objetivo principal deste estudo é a anális
Publicado em: 2008
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6. MODELAGEM E PREVISÃO DO COMPORTAMENTO DE PREÇOS DA COMMODITY CAFÉ ARÁBICA: UMA ABORDAGEM PELA METODOLOGIA DE SANJIV DAS / MODELING AND FORECASTING THE BEHAVIOUR OF ARABIC COFFEE COMMODITYS PRICES: AN APPROACH BY THE METHODOLOGY OF SANJIV DAS
The agribusiness has great importance for the Brazilian economy, representing a significative share of GDP and total exports of the country. Like other production processes inserted in an environment of uncertainty, the agricultural activity needs instruments that minimize the risk, especially, the risk of price and assist in decision-making process of agent
Publicado em: 2008
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7. BIFUEL CONVERSION OF THERMAL POWER PLANTS UNDER UNCERTAINTY: A REAL OPTIONS APPROACH / CONVERSÃO DE TERMELÉTRICAS PARA BI-COMBUSTÍVEL EM AMBIENTE DE INCERTEZA: UMA ABORDAGEM POR OPÇÕES REAIS
In Brazil, despite the predominant participation of hydro power plants, some years ago, due to Thermo Power Priority Program (PPT), a large number of Natural Gaspowered plants were implanted. A lot of uncertainties are imposed to the players in the Brazilian Power Market, and one more risk arises: the Natural Gas offer. The bi-fuel conversion arises as an op
Publicado em: 2008
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8. Risky assets performance measures analysis: a study of potential investment, Sharpe ratio and generalized Sharpe ratio indexes. / Análise de medidas de desempenho de ativos de risco: um estudo dos índices de potencial de investimento, Sharpe e Sharpe generalizado
This master dissertation studies and compares the characteristics of Sharpe ratio and its variants, SRc and SRd, generalized Sharpe ratio (GSR) and investment potential (IP), both GSR and IP associated to any utility function. By the fact that GSR and IP are identical indexes, empiric tests were conducted between SRc and GSR. The indexes were evaluated theor
Publicado em: 2008
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9. Modelos de precificação de opções com saltos: análise econométrica do modelo de Kou no mercado acionário brasileiro / Option pricing models with jumps: econometric analysis of the Kuos model in the Brazilian equity market
This master dissertation reviews the academic literature about option pricing and hedging with jumps. The theory was equalized and the notation was standardized, becoming this document a reference document about this subject. The log-normality with constant volatility is not accepted by the market. Academics search consistent models with the same analytical
Publicado em: 2007
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10. Models for estimation of the optimal investment timing in deep-waters projects / Modelos para estimativa do momento otimo de investimento em projetos em aguas profundas utilizando opções reais
This work proposes two Real Options models for economic evaluation of E&P projects located in deep-water. The models consider the effects of uncertainties related to the oil price and the process of technological evolution. These models are useful for undeveloped reserves of heavy oil in deep-water that depict a great level of uncertainty, as the available t
Publicado em: 2007
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11. A IMPORTÂNCIA DA FLEXIBILIDADE GERENCIAL: ANÁLISE DE INVESTIMENTOS USANDO A TEORIA DAS OPÇÕES REAIS DA PLANTA GTL / THE IMPORTANCE OF MANAGERIAL FLEXIBILITY: INVESTIMENT ANALYSIS USING THE REAL OPTION OF THE PLANT GTL
O objetivos desta dissertação é fazer uma análise de investimentos usando a teoria das Opções Reais de uma planta GTL. Está análise é a mais indicada, pois se verificam várias flexibilidades nesta planta em relação aos inputs (pode ser usado mais de um produto como matéria- prima) e em relação aos outputs (existem várias combinações possív
Publicado em: 2007
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12. VALIDATION OF THE PROJECT VALUATION CRITERION USING THE REAL OPTIONS THEORY: BRAZILIAN OIL FIELDS E&P, CONSIDERING PRICES AS GEOMETRIC BROWNIAN MOTION / VALIDAÇÃO DO CRITÉRIO DE AVALIAÇÃO DE PROJETOS UTILIZANDO A TEORIA DAS OPÇÕES REAIS: E &P DE CAMPOS DE PETRÓLEO NACIONAIS, SUPONDO PREÇOS COMO MOVIMENTO GEOMÉTRICO BROWNIANO
Financial researchers have discussed a lot about the theoretical advantages of including the managerial flexibility and the financial options analogy in projects valuation criteria. Plenty of authors criticize the currently used investment analysis methods, mainly represented by the discounted cash flow, supported by the notion that the managers should use t
Publicado em: 2003