Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad

El objetivo de este articulo es evaluar la posibilidad de expansion de una red integrada de servicios de salud mediante el uso de valoracion por opciones reales. Para estimar el parametro de volatilidad se estudian cuatro metodologias, dos de ellas son usadas en opciones reales las cuales se refieren a: Market Asset Disclaimer y Market Approach. Adicionalmente, las otras dos metodologias propuestas son empleadas en opciones financieras, las cuales son: volatilidad implicita del modelo de Merton y volatilidad implicita mediante Newton-Raphson. Los resultados muestran que la volatilidad estimada mediante las metodologias propuestas es similar a la obtenida por la metodologia tradicional de Market Asset Disclaimer. La principal contribucion de este articulo consiste en la construccion de la sonrisa de la volatilidad para opciones reales, que es facil de implementar.

• Publication year

  2015

• Venue

  Estudios Gerenciales

• Publication date

  2015-09-01

• Fields of study

  Not labeled

• Identifiers
  DOI 10.1016/J.ESTGER.2015.03.004
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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