Modelos estocásticos aplicados ao preço da madeira de eucalipto: valoração de Opções Reais
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Data
2020-01-21
Autores
Munis, Rafaele Almeida [UNESP]
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Editor
Universidade Estadual Paulista (Unesp)
Resumo
A escolha do número ideal de rotações de florestas plantadas sob um regime de manejo silvicultural resulta em incertezas aos fluxos de caixa esperados de projetos florestais. Nesta perspectiva, a abordagem estocástica das Opções Reais com a modelagem do ativo subjacente, ou seja, do preço da madeira, favorece na elucidação do risco unitário, aos quais gestores florestais estão expostos. Neste estudo, objetivou-se verificar se o ajuste da modelagem do preço da madeira por meio do Movimento Browniano Fracionário é superior ao Movimento Geométrico Browniano, com vistas à valoração de um projeto destinado a florestas plantadas com Eucalyptus, para então, consentir incorporar flexibilidades gerenciais ao projeto de investimento florestal. Utilizou-se a abordagem de precificação de opções europeias, em tempo discreto, com a aplicação do método de simulação de Monte Carlo. Deste modo, houve supervalorização de 31,44 % do projeto de investimento florestal com a modelagem por meio do Movimento Geométrico Browniano. Com a constatação da memória longa verdadeira na série de preços do Eucalyptus, conclui-se que o Movimento Browniano Fracionário é mais indicado para modelagem do preço da madeira de Eucalyptus, o qual, após incorporação de 100 % das opções europeias torna o projeto de investimento florestal viável economicamente em contraste ao método determinístico.
Choosing the optimal number of planted forest rotations under a silvicultural management regime results in uncertainties about expected cash flows from forestry projects. In this perspective, the stochastic approach of Real Options with the modeling of the underlying asset, that is, the price of wood, favors the elucidation of the unit risk to which forest managers are exposed. In this study, the objective was to verify if the adjustment of the wood price modeling by means of the Fractional Brownian Motion is better than the Geometric Brownian Motion, in order to valuing a project for forests planted with Eucalyptus, and then allowing to incorporate management flexibilities into the forestry project. It was used the European option pricing approach in discrete time with the Monte Carlo simulation method. Thus, there was an overvaluation of 31.44% of the forest project with te Geometric Brownian Motion modeling. With the finding of real long memory in the Eucalyptus price series, it is concluded that the Fractional Brownian Movement is more indicated that the Fractional Brownian Motion is more suitable for modeling this asset, which, after incorporating 100% of European options, makes the forestry project economically viable in contrast to the deterministic method.
Choosing the optimal number of planted forest rotations under a silvicultural management regime results in uncertainties about expected cash flows from forestry projects. In this perspective, the stochastic approach of Real Options with the modeling of the underlying asset, that is, the price of wood, favors the elucidation of the unit risk to which forest managers are exposed. In this study, the objective was to verify if the adjustment of the wood price modeling by means of the Fractional Brownian Motion is better than the Geometric Brownian Motion, in order to valuing a project for forests planted with Eucalyptus, and then allowing to incorporate management flexibilities into the forestry project. It was used the European option pricing approach in discrete time with the Monte Carlo simulation method. Thus, there was an overvaluation of 31.44% of the forest project with te Geometric Brownian Motion modeling. With the finding of real long memory in the Eucalyptus price series, it is concluded that the Fractional Brownian Movement is more indicated that the Fractional Brownian Motion is more suitable for modeling this asset, which, after incorporating 100% of European options, makes the forestry project economically viable in contrast to the deterministic method.
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Palavras-chave
Ativos biológicos, Movimento Browniano Fracionário, Flexibilidade gerencial, Tempo discreto, Volatilidade, Biological assets, Fractional Brownian Motion, Managerial flexibility, Discrete time, Votatility