Simulação de Monte Carlo aplicada a teoria das opções reais: uma ferramenta de análise econômico-financeira para investimentos no setor gás-químico para o Pólo Industrial de Manaus

Abstract

The search for sophisticated methods more of evaluation of investments that are capable to deal with uncertainty, irreversibilidade, risk and that they guarantee flexibility, has been one exausto exercise on the part of researchers, mainly in projects that involve investments in products with high aggregate value. From a bibliographical survey and of laboratory, the present dissertation analyzes the viability of the industry gas-chemistry in the Industrial Polo region of Manaus. It considers an economic-financial, established analysis in use of Real Options (OR), applied Simulation for Monte Carlo (SMC). Thus, the prices of the entrances and exits are shaped through one determined random process, in this in case that Geometric Movement Browniano (MGB), is calculated the parameters (drift and volatileness) of each series of prices and after that are made its SMC. The variable fluctuation of prices, variations of market, delays or advancings in the execution of the project, estimates of cost and forecasts for the attainment of the necessary approvals, are observed to Real Options (OR). Next, considers the combination of entrances and exits that the function maximizes profit in one determined period and calculates the liquid present value (VPL). Finally, it currently presents the used methods in this precificacion, giving emphasis to the method of the Monte Simulation Carlo (SMC), it points the advantages in relation to the classic analysis and identifies the main existing OR in a project of great transport