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

• González-Echeverri, Germán ^[2] ; Mora-Valencia, Andrés ^[1] ; Gregorio Solano, Juan ^[3]
  1. [1] Universidad EAFIT

     Universidad EAFIT

     Colombia

     
  2. [2] Director, SKapital S.A., Medellín, Colombia
  3. [3] Coordinador Administrativo y Financiero, Hospital Infantil Santa Ana, Medellín, Colombia

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• Localización: Estudios Gerenciales: Journal of Management and Economics for Iberoamerica, ISSN 0123-5923, Vol. 31, Nº. 136, 2015, págs. 287-298
• Idioma: español
• DOI: 10.1016/j.estger.2015.03.004
• Títulos paralelos:
  • Opcções reais aplicadas em redes integradas de serviços de saúde utilizando diferentes métodos de estimação da volatilidade
  • Real options applied to integrated health services delivery networks using different methods to estimate volatility
• Enlaces
  • Texto completo (pdf)
• Dialnet Métricas: 6 Citas
• Resumen
  • español

    El objetivo de este artículo es evaluar la posibilidad de expansión de una red integrada de servicios de salud mediante el uso de valoración por opciones reales. Para estimar el parámetro de volatilidad se estudian cuatro metodologías, dos de ellas son usadas en opciones reales las cuales se refieren a: Market Asset Disclaimer y Market Approach. Adicionalmente, las otras dos metodologías propuestas son empleadas en opciones financieras, las cuales son: volatilidad implícita del modelo de Merton y volatilidad implícita mediante Newton-Raphson. Los resultados muestran que la volatilidad estimada mediante las metodologías propuestas es similar a la obtenida por la metodología tradicional de Market Asset Disclaimer. La principal contribución de este artículo consiste en la construcción de la sonrisa de la volatilidad para opciones reales, que es fácil de implementar.

  • English

    The aim of this paper is to evaluate the possibility of expanding an integrated network of health services using real options valuation. Four methods for estimating the volatility parameter are analyzed, two of which are applied in real options: Market Asset Disclaimer and Market Approach. Two methods commonly used in financial options are also proposed: implied volatility by Merton model and implied volatility estimated by Newton-Raphson. The results show that the volatility estimated by the proposed methods is similar to that obtained by the traditional Market Asset Disclaimer method. The main contribution of this paper is the construction of the volatility smile for real options, and it is easy to implement.

  • português

    O objectivo deste artigo é avaliar a possibilidade de expansão de uma rede integrada de serviços de saúde mediante o uso de valoração por opções reais. Para estimar o parâmetro de volatilidade estudam-se quatro metodologias, duas delas são usadas em opções reais, as quais se referem a: Market Asset Disclaimer e Market Approach. Adicionalmente, as outras duas metodologias propostas são empregues em opções financeiras, as quais são: volatilidade implícita do modelo de Merton e volatilidade implícita mediante Newton-Raphson. Os resultados mostram que a volatilidade estimada mediante as metodologias propostas é similar à obtida pela metodologia tradicional de Market Asset Disclaimer. A principal contribuição deste artigo consiste na construção do sorriso da volatilidade para opções reais, que é fácil de implementar

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