El modelo binomial borroso y la valoración de opciones reales: el caso de valuación de un contrato de concesión para la explotación petrolera

Abstract

This paper presents the steps for evaluating new projects, when twin financial assets do not exist and the information is ambiguous, by complementing the binomial probabilistic model with the fuzzy binomial valuation approach. This paper is structured as follows: (a) The real option valuation models are reviewed and classified in probabilistic and fuzzy; (b) The fuzzy binomial valuation approach is developed considering the MAD (Marketed Asset Disclaimer) method, fuzzy binomial lattices and the agent´s risk aversion with the optimistic-pessimistic index; (c) The behavior of the model is illustrated using an oil extraction concession contract valuation, which has the option to expand, abandon or continue the project. The results obtained with the fuzzy valuation and the probabilistic binomial models are compared. The importance of combining the probabilistic and fuzzy valuation where there is a lack of information (ambiguity) for new project o closed firms in emerging markets is demonstrated