Valuation of an investment project in research and development in the pharmaceutical industry

• Fernando Cruz Aranda ^[1] ; Antonia Terán Bustamante ^[1]
  1. [1] Universidad Panamericana
• Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 64, Nº. 1, 2019
• Idioma: inglés
• Títulos paralelos:
  • Valoración de un proyecto de inversión en investigación y desarrollo en la industria farmacéutica
• Enlaces
  • Texto completo (pdf)
• Resumen
  • español

    En la presente investigación se realiza la evaluación del proyecto de inversión en investigación y desarrollo para la innovación y de gran impacto en la industria farmacéutica. La evaluación del proyecto se realiza a través de opciones reales de tipo americano, basada en árboles binomiales que incorporan la volatilidad sobre los flujos de efectivo esperados para determinar el beneficio de posponer un proyecto a tres años, brindando flexibilidad a los inversionistas en su toma de decisiones. Además, en la valoración de la opción real asociada al proyecto, la teoría de conjuntos difusos se incorpora en el proceso de asignación de posibilidades en los árboles binomiales. El valor de la opción real de tipo americano para posponer el proyecto oscila entre el 24,83% y el 51,22% de la inversión, y el valor de la opción real, utilizando la lógica difusa entre 9.91% y 23.13% de la inversión en un escenario pesimista, y del 10,04% y 39,08% de la inversión en un escenario optimista, y para un escenario de expertos la prima de la opción se encuentran entre: 10,00% y 26,91% de la inversión, estos son mejores resultados.

  • English

    In this paper, the evaluation of the investment project in research and development for the innovation and of great impact in the pharmaceutical industry is presented. The project evaluation is done through an American type real call option, based on binomial trees incorporating the expected volatility of the expected cash flows in order to determine the benefit of postponing the project three years, providing flexibility to investors in their decision making. Besides, in the valuation of a real option associated with the project, fuzzy sets theory is incorporated in the process of assigning possibilities to the branches of a tree. The value of the American type real call option to postpone the project are between 24.83 % and 51.22% of the investment, and the value of real option, using fuzzy logic is between 9.91% and 23.13% of the investment in a pessimistic scenario, and of the 10.04% and 39.08% of investment in an optimistic scenario, and for a experts scenario the option premium is between 10.00% and 26.91% of the investment, these are better results.

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