Avaliação de áreas agrícolas por meio de uma abordagem de opções reais

• Ano de defesa: 2011
• Autor(a) principal: Olortegui, José Antonio Chavez
• Orientador(a): Marçal, Emerson Fernandes
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Presbiteriana Mackenzie
• Palavras-chave em Português: opções reais; precificação; processos de difusão
• Palavras-chave em Inglês: real options; pricing; diffusion processes
• Área do conhecimento CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESAS
• Link de acesso: http://dspace.mackenzie.br/handle/10899/23194

The objective is to price agricultural areas and quantify the influence of prices of agricultural products in the value of rural enterprises. The assessment takes into account that the value of the area is linked to the Present Value of future cash flow from exploration and the existence of flexibility associated with land tenure that can be evaluated by the method of real options. Crops evaluated in the study will be the corn and soybean. The evolution of crop prices will be modeled on the CIR process (Cox, Ingersoll, Ross). The price of land will be calculated from a partial differential equation (PDE). This is addressed from Monte Carlo simulations. The results show that the price of choice, for both cultures, it is more than 40% of the land. The value of land for corn, the 30-year horizon, is greater than of soybeans.