Este trabalho incorpora tratamento quantitativo da incerteza, no sentido da definição clássica de Frank Knight (1921), a um modelo de avaliação econômica baseado em Opções Reais, analisando suas consequências. O conceito knightiano distingue incerteza de risco. Decisões ótimas indicadas pelo Modelo de Opções Reais, uma vez não seguidas pelos decisores, tornam-se escolhas subótimas, sugerindo a presença de elementos de Incerteza Knightiana no ambiente decisório. Decisões subótimas contrariam a regra básica do VPL e, sendo o decisor racional por premissa, existe uma espécie de VPL ex post que se harmoniza à escolha, adequando-se à regra decisória e determinando quantitativamente um grau de aversão à incerteza no decisor. Introduzindo-se no modelo o Valor Esperado de Choquet e um parâmetro representando aversão à incerteza, sob o conceito de probabilidades não aditivas, obtêm-se aproximações de VPLs pós-decisão e graus de aversão à incerteza revelados. A formulação proposta é aplicada em avaliação de projeto de P & D.

This article presents a quantitative treatment of uncertainty, in the classical sense of Frank Knight (1921), in an economic assessment model that is based on Real Options Theory. The Knightian concept draws a distinction between uncertainty and risk. Optimal decisions in real options models, once discarded by the decision makers, become suboptimal choices, suggesting the presence of Knightian Uncertainty elements in the decision environment. Suboptimal decisions contradict the basic NPV rule, as the decision makers are rational by assumption. This results in a so-called "ex-post NPV" that harmonizes with that choice, according to the decision rule, by quantitatively determining a degree of uncertainty aversion. By adopting the Choquet Expected Value and a parameter representing uncertainty aversion, and by using the concept of non-additive probabilities, we obtain approximations of "post-decision NPVs" and determine the degrees of uncertainty aversion. The proposed formulation is used to evaluate an R & D project.

The objective of this paper is to verify the robustness of the Least Square Monte Carlo and Grant, Vora & Weeks methods when used to determine the incremental payoff of the carbon market for renewable electricity generation projects, considering that the behavior of the price of Certified Emission Reductions, otherwise known as Carbon Credits, may be modeled using a jump-diffusion process. In addition, this paper analyses particular characteristics, such as absence of monotonicity, found in trigger curves obtained through use of the Grant, Vora & Weeks method to valuate these types of project.

This paper analyzes changes in the assessment of an incremental R&D project by an industrial firm with the progressive consideration of the endogenous treatment of its main sources of uncertainty: technical performance and development time. We found that the project, which was unfeasible under a deterministic assessment by Net Present Value (NPV) without flexibility, became feasible after the treatment of the technical uncertainty by a real options model (NPV with flexibility). Moreover, the project gained approximately 51 percent more value in flexibility when a treatment of the development time uncertainty was added to the model. In terms of additional flexibility per unit cost of the project, the gain is approximately 44 percent. This result demonstrates the importance of addressing the combination of these sources of uncertainty in R&D projects, especially those that are incremental, which is a difficult category to analyze in terms of quantitative benefits.

Este trabalho tem por objetivo avaliar a robustez dos métodos de Grant, Vora & Weeks e dos Mínimos Quadrados quando aplicados na avaliação de projetos de geração de energia eletrica a partir de fontes renovavéis desenvolvidos no ambito do Mecanismo de Desenvolvimento Limpo do Protocolo de Quioto. Em primeiro lugar, a metodologia proposta consiste em utilizar o modelo NEWAVE para estabelecer cenários hidrológicos de despacho para as usinas conectadas ao sistema interligado nacional. Em seguida, baseado no escopo da metodologia ACM0002, considera-se a incerteza associada a evolução temporal da linha de base do projeto. Finalmente, o valor incremental do mercado de carbono e estimado utilizando-se a Teoria das Opções Reais. Para tanto os métodos numericos citados anteriormente são utilizados sob a premissa de que o preço do crédito de carbono se comporta de forma aleatoria segundo as premissas de um Movimento Geometrico Browniano

The objective of this paper is to evaluate the robustness of the Grant, Vora & Weeks and Least Square Monte Carlo Methods when used to evaluate renewable generation projects developed according to the rules of the Kyoto Protocol Clean Development Mechanism. The proposed methodology makes use of the NEWAVE model in order to generate futures dispatch sequences for all generators connected to the Brazilian grid. After that, based on the methodology ACM0002, the uncertainty associated to the time evolution of the project's baseline is considered. Finally, the carbon market' incremental payoff is estimated using the Real Options Approach. In order to do that, the numerical methods previously mentioned are used under the assumption that the behavior of the carbon price is random and that the price follows a Geometric Brownian Motion

Este trabalho propõe um modelo estrutural para estimar a estrutura a termo e a probabilidade implícita de default de países emergentes que representam, em média, 54% do índice EMBIG do JPMorgan no período de 2000-2005. A taxa de câmbio real, modelada como um processo de difusão simples, é considerada como indicativa de default. O modelo calibrado gera a estrutura a termo dos spreads consistente com dados de mercado, indicando que o mercado sistematicamente sobre-estima os spreads para o Brasil em 100 pontos base na média, enquanto para México, Rússia e Turquia reproduz o comportamento do mercado.

This paper proposes a simple structural model to estimate the termstructure and the implied default probability of a selected group of emerging countries, which account for 54% of the JPMorgan EMBIG index on average for the period 2000-2005. The real exchange rate dynamic, modeled as a pure diffusion process, is assumed to trigger default. The calibrated model generates sovereign spread curves consistent to market data. The results suggest that the market is systematically overpricing spreads for Brazil in 100 basis points, whereas for Mexico, Russia and Turkey the model is able to reproduce the market behavior.