HYDROELETRIC GENERATION ASSET VALUATION BY REAL OPTIONS IN DICRETE TIME / AVALIAÇÃO DE ATIVOS DE GERAÇÃO HIDRELÉTRICA ATRAVÉS DA TEORIA DE OPÇÕES REAIS EM TEMPO DISCRETO

AUTOR(ES)
DATA DE PUBLICAÇÃO

2006

RESUMO

The Brazilian electric sector comes suffering strong structural changes, whose main objective is to create a competitive to allow the sector to grow not more for state investments, but for the private capital. The Agência Nacional de Energia Elétrica (ANEEL) starts to offer a multiplicity of chances of investments, generated mainly for the recent implantation of the auctions of generating units of energy (in its hydroeletrics majority) and of transmission lines. In sight of this, this work propose a model to hydroelectric generation asset valuation under uncertainty conditions using real options methodology. This work aims to incorporate managerial flexibility to the projects valuation using Decision Trees, with neutral probabilities to the risk, for the Real Options Valuation in Discrete Time. The method is computational intense, but simpler and more intuitive than the traditional methods of Real Options, thus allowing a bigger flexibility in the modeling of the problem.The practical application is applied to the problem of option of energy sale valuation of Small Hydroeletric Generation Asset.

ASSUNTO(S)

analise de projetos flexibilidade gerencial opcoes reais analise de decisoes project analysis financas decision analysis managerial flexibility real options finance

ACESSO AO ARTIGO

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