Aplicaciones del lema de Itô en finanzas corporativas: un enfoque de valoración utilizando ecuaciones diferenciales estocásticas (EDE)
Aplicaciones del lema de Itô en finanzas corporativas: un enfoque de valoración utilizando ecuaciones diferenciales estocásticas (EDE)
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Zapata, C.A. 2016. Aplicaciones del lema de Itô en finanzas corporativas: un enfoque de valoración utilizando ecuaciones diferenciales estocásticas (EDE). ODEON. 10 (oct. 2016), 65–84. DOI:https://doi.org/10.18601/17941113.n10.04.
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En este documento se resalta la importancia del lema de Itô en el campo de las finanzas corporativas. Para ello, se identifican los principales campos de aplicación cuando se adaptan procesos estocásticos siguiendo el modelo de valoración de opciones financieras de Black-Sholes-Merton y la ecuación diferencial parcial para modelar el valor de los activos reales y proyectos de inversión bajo el enfoque CCA. Estos desarrollos han permitido tratar problemas de tipo corporativo siguiendo la misma estructura de los modelos de opciones financieras. De igual forma, se resaltan las ventajas que aporta esta aplicación con el fin de realizar valoraciones bajo incertidumbre, lo cual permite superar las limitaciones del enfoque tradicional (FCD).
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Black, F. y Scholes, M. (1973). The Pricing of Options and Corporate Liabilities. The Journal of Political Economy, 81(3), 637-654.
Brandão, L., Dyer, J. y Hahn, W. (2005). Using binomial decision trees to solve real options valuations problems. Journal of Decision Analysis, 2(2), 69-88.
Brandão, L., Dyer, J. y Hahn, W. (2012). Volatility estimation for stochastic project value models. European Journal of Operational Research, 220(3), 642-648.
Brennan, M. y Schwartz, E. (1978). Corporate income taxes, valuation, and the problem of optimal capital structure. Journal of Business, 51(1), 103-114.
Brennan, M. y Schwartz, E. (1985). Evaluating Natural Resource Investments. The Journal of Business, 58(2), 135-157.
Chevalier-Roignant, B. y Trigeorgis, L. (2011). Competitive strategy: Options and games. Cambridge: MIT Press.
Copeland, T. y Antikarov, V. (2001). Real Options: A practitioner´s guide. New York: Texere Publishing Limited.
Cox, J., Ross, S. y Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7, 229-263.
Dixit, A. y Pindyck, R. (1994). Investment under uncertainty. New Jersey: Princeton University Press.
Fisher, I. (1907). The Rate of Interest: Its nature, determination and relation to economic phenomena. New York: Macmillan.
Jarrow, R. (1999). In honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: a partial differential equation that changed the world. The Journal of Economic Perspectives, 13(4), 229-248.
Kester, W. (1984). Today´s options for tomorrow´s growth. Harvard Business Review, 62, 153-160.
Leland, H. (1994). Corporate debt value, bond covenants, and optimal capital structure. The journal of finance, 49(4), 1213-1252.
Mason, S. y Merton, R. (1985). The role of contingent claims analysis in Corporate Finance. Recent Advances in Corporate Finance, Altman and Subrahmanyam (eds.).
McDonald, R. y Siegel, D. (1986). The value of waiting to invest. Quarterly Journal Economics, 101(4), 707-727.
Merton, R. (1974). On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance, 29, 449-470.
Merton, R. (1977). On the pricing of contingent claims and the Modigliani-Miller theorem. Journal of Finance, 29(5), 241-249.
Merton, R. (1992). Continuous-Time Finance. New York: Wiley-Blackwell.
Modigliani, F. y Miller, M. (1958). The cost of capital, corporation finance and the theory of investment. The American Economic Review, 48(3), 261-297.
Myers, S. (1977). Determinants of corporate borrowing. Journal of Financial Economic, 5, 147-175.
Myers, S. y Majluf, N. (1984). Corporate financing and investment decisions when firms have information that investors do not have. Journal of financial economics, 13(2), 187-221.
Pindyck, R. (1991). Irreversibility, Uncertainty, and Investment. Journal of Economic Literature, 29(3), 1110-1148.
Smit, H. y Trigeorgis, L. (2004). Strategic investment: Real Options and Games. NJ: Princeton University Press.
Tirole, J. (2006). The theory of corporate finance. Cambridge: Cambridge University Press.
Trigeorgis, L. (1996). Real Options: Managerial Flexibility and Strategy in Resource Allocation. Cambridge: MIT Press.
Black, F. y Scholes, M. (1973). The Pricing of Options and Corporate Liabilities. The Journal of Political Economy, 81(3), 637-654.
Brandão, L., Dyer, J. y Hahn, W. (2005). Using binomial decision trees to solve real options valuations problems. Journal of Decision Analysis, 2(2), 69-88.
Brandão, L., Dyer, J. y Hahn, W. (2012). Volatility estimation for stochastic project value models. European Journal of Operational Research, 220(3), 642-648.
Brennan, M. y Schwartz, E. (1978). Corporate income taxes, valuation, and the problem of optimal capital structure. Journal of Business, 51(1), 103-114.
Brennan, M. y Schwartz, E. (1985). Evaluating Natural Resource Investments. The Journal of Business, 58(2), 135-157.
Chevalier-Roignant, B. y Trigeorgis, L. (2011). Competitive strategy: Options and games. Cambridge: MIT Press.
Copeland, T. y Antikarov, V. (2001). Real Options: A practitioner´s guide. New York: Texere Publishing Limited.
Cox, J., Ross, S. y Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7, 229-263.
Dixit, A. y Pindyck, R. (1994). Investment under uncertainty. New Jersey: Princeton University Press.
Fisher, I. (1907). The Rate of Interest: Its nature, determination and relation to economic phenomena. New York: Macmillan.
Jarrow, R. (1999). In honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: a partial differential equation that changed the world. The Journal of Economic Perspectives, 13(4), 229-248.
Kester, W. (1984). Today´s options for tomorrow´s growth. Harvard Business Review, 62, 153-160.
Leland, H. (1994). Corporate debt value, bond covenants, and optimal capital structure. The journal of finance, 49(4), 1213-1252.
Mason, S. y Merton, R. (1985). The role of contingent claims analysis in Corporate Finance. Recent Advances in Corporate Finance, Altman and Subrahmanyam (eds.).
McDonald, R. y Siegel, D. (1986). The value of waiting to invest. Quarterly Journal Economics, 101(4), 707-727.
Merton, R. (1974). On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance, 29, 449-470.
Merton, R. (1977). On the pricing of contingent claims and the Modigliani-Miller theorem. Journal of Finance, 29(5), 241-249.
Merton, R. (1992). Continuous-Time Finance. New York: Wiley-Blackwell.
Modigliani, F. y Miller, M. (1958). The cost of capital, corporation finance and the theory of investment. The American Economic Review, 48(3), 261-297.
Myers, S. (1977). Determinants of corporate borrowing. Journal of Financial Economic, 5, 147-175.
Myers, S. y Majluf, N. (1984). Corporate financing and investment decisions when firms have information that investors do not have. Journal of financial economics, 13(2), 187-221.
Pindyck, R. (1991). Irreversibility, Uncertainty, and Investment. Journal of Economic Literature, 29(3), 1110-1148.
Smit, H. y Trigeorgis, L. (2004). Strategic investment: Real Options and Games. NJ: Princeton University Press.
Tirole, J. (2006). The theory of corporate finance. Cambridge: Cambridge University Press.
Trigeorgis, L. (1996). Real Options: Managerial Flexibility and Strategy in Resource Allocation. Cambridge: MIT Press.
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