Neste trabalho é apresentado o suporte teórico necessário para a aplicação do apreçamento de opções reais com incertezas exógenas, inclusive com incertezas nãocomercializadas ou em mercados incompletos. Em seguida, o processo de modelagem de opções reais é analisado, sugere-se uma estrutura de modelagem de projetos com flexibilidade a partir de suas incertezas básicas, e comparam-se as duas principais abordagens atuais de modelagem de opções reais. / In this work is presented the theoretical support needed for the application of real options pricing with exogenous uncertainties, include non-traded uncertainties and incomplete market uncertainties. It is also analyzed the process of real options modeling, suggesting a framework of project modeling with flexibility from its basic uncertainties, and it is compared the two main approaches for valuing real options.

[pt] Um dos problemas da avaliação por Opções Reais é a exigência de se ter mercados completos para que possam ser utilizados métodos baseados no princípio da não arbitragem para a sua solução. Outro problema é a inclusão de duas ou mais fontes de incerteza na modelagem matemática do projeto, que aumenta a complexidade do problema, especialmente quando essas incertezas envolvem risco privado, não correlacionado com o mercado. Este trabalho sintetiza conceitos aplicados a Teoria das Opções Reais desenvolvidos por diversos autores com ferramentas de Decision Analysis para propor uma metodologia de avaliação de projetos em tempo discreto utilizando algoritmo próprio aplicado a modelo de árvore de decisão com malha binomial que pode ser implementada utilizando-se programas de software padrão já existentes no mercado. O método é computacionalmente intenso, mas de modelagem mais simples e intuitiva que os métodos tradicionais de Opções Reais, permitindo assim uma maior flexibilidade na elaboração do modelo. Esta metodologia é aplicada ao problema de valoração de uma concessão rodoviária no Brasil com flexibilidade gerencial em mercados incompletos e risco político. / [en] One of the problems of the evaluation for Real Options is the need to have complete markets so that non arbitrage methods can be used for its solution. When that is not the case, or when the determination of a dynamic portfolio of market securities that replicate the stochastic characteristics of the project is not feasible for any reason, the alternative is to use an exogenous and arbitrary discount rate. Another problem is the inclusion of two or more uncertainty sources in the mathematical modeling of the project, which brings a certain degree of complexity to the problem, especially when those uncertainties involve private risk, not correlated with the market. This work synthesizes some Real Options Theory concepts developed by several authors with Decision Analysis tools to propose a method for evaluation of projects in incomplete markets by dynamic programming using an innovative algorithm to model the project`s stochastic process with a binomial lattice and decision tree. The method is computationally intense, but simpler and more intuitive than that the traditional methods of Real Options, allowing for a greater flexibility in the modeling of the problem. This methodology is applied to the problem of the valuation a highway concession in Brazil with managerial flexibility in incomplete markets and political risk.

Esta Dissertação de Mestrado analisa o contexto das transações e contratos para fornecimento de gás natural de consumo industrial, e verifica os principais determinantes teóricos do valor da flexibilidade contratual, quanto ao compromisso de pagamento por quantidades mínimas contratadas, ou cláusulas take-or-pay. Para o desenvolvimento da Indústria de Gás Natural brasileira, são necessários grandes investimentos em infra-estrutura, cuja realização depende da percepção de valor de longo prazo que os agentes ao longo da cadeia de fornecimento têm sobre a incerteza do mercado. Como estes agentes estabelecem a governança de suas relações, através de contratos de longo prazo, a compreensão dos determinantes de valor da flexibilidade contratual é crítica para a análise da viabilidade de uma transação comercial. Este problema é abordado através do enfoque das Teorias dos Custos de Transação e das Opções Reais. Uma amostra de 396 contratos em 6 distribuidoras de gás natural no Brasil revelou um significante poder explicativo da Teoria das Opções Reais para o valor da flexibilidade contratual, observada nas transações para fornecimento de gás natural, para consumo industrial. A evidência foi mais tênue no caso da Teoria dos Custos de Transação e fatores são propostos para explicar este fato. A pesquisa indica que a não consideração do valor flexibilidade nos contratos de gás natural tem influência negativa para o desenvolvimento deste mercado. Políticas comerciais e de regulação adequadas devem levar em consideração este aspecto. / This Dissertation analyses the context of the transactions and contracts involving the natural gas supply to industrial consumption, and verifies the main theoretical drivers of the flexibility value, in contract clauses concerning the commitment of payment for minimum contracted quantities, known as take-or-pay provisions. The development of the Brazilian Natural Gas Industry demands the deployment of heavy infra-structure, which depends upon the long-term value perception of the market uncertainty, by the contracting agents, along the supply chain. Since these agents establish the governance of their relationships through long-term contracts, the understanding of the drivers for contractual flexibility value is crucial to evaluate the feasibility of a commercial transaction. This problem is approached through the concepts of the Transaction Cost and Real Option Theories. A sample of 396 contracts from 6 natural gas distribution companies, demonstrated a remarkable explanation power of the Real Option Theory for the value of the contractual flexibility, observed in transactions for natural gas supply to industrial consumption. The evidence was weaker in the case of the Transaction Cost Theory and the reasons for this fact are proposed. This research demonstrates that if the flexibility value is not taken into account in the contracts, there should be negative influences to the market development. Adequate commercial and regulation policies should consider this aspect.

We investigate the impact of cash reserves upon the optimal behaviour of a modelled firm that has uncertain future revenues. To achieve this, we build up a corporate financing model of a firm from a Real Options foundation, with the option to close as a core business decision maintained throughout. We model the firm by employing an optimal stochastic control mathematical approach, which is based upon a partial differential equations perspective. In so doing, we are able to assess the incremental impacts upon the optimal operation of the cash constrained firm, by sequentially including: an optimal dividend distribution; optimal equity financing; and optimal debt financing (conducted in a novel equilibrium setting between firm and creditor). We present efficient numerical schemes to solve these models, which are generally built from the Projected Successive Over Relaxation (PSOR) method, and the Semi-Lagrangian approach. Using these numerical tools, and our gained economic insights, we then allow the firm the option to also expand the operation, so they may also take advantage of favourable economic conditions.

近幾年來，國內外又掀起了另一股購併潮流。但在這樣的潮流底下，購併真的能為企業帶來價值嗎？又為什麼有這麼多的人想要投入這塊領域？ 從許多合併後的實證結論發現，購併的進行並不如業者本身所預期的那樣樂觀，但這股風潮，似乎未曾間斷。究其原因，我們從購併的基本動機理論著手，再加上實質選擇權的特性－「管理彈性」予以考量，發現若將選擇權的觀念應用到購併投資決策上，的確會造成投資計畫價值增加的效果。顯然彈性價值的存在，的確是推動企業購併的主要因素之一。 本文所採行的研究個案係國內的大型銀行，是故購併案的採行，勢必會有一筆龐大的期初投資。若未來的預期收益無法與期初成本相當，或在短期內，無法將成本回收的話，從購併案的動機來看，這樣的案子將不予採行。本文即因為期初投入成本太大，導致這宗合併案將不與採行。但在情境分析的考量下，若於市場處於樂觀情境，則雙方會接受這宗合併案。這樣的決策結果係針對量化指標來考量，若加入了政府當局或環境因素的考慮，也許雙方當事者仍會採納此購併建議。 本文研究之主要目的在為企業機構的合併案，提供一套利用多期實質選擇權概念進行評估的架構。同時，透過簡單的模型應用，加深企業對選擇權評價模式的瞭解，有助理論在實務上的應用。不過本文有資料蒐集上的困難，很多模型上的參數估計會產生些許誤差，但希望在合理的基礎下，能為購併計畫的評價帶來些許貢獻。

<p>Background: The difference between the market value and the book value of the companies has dramatically increased. One explanation is that the inflow of capital on the market has increased. Another explanation is that companies have a larger share of intellectual capital. The question is how this has influenced the company-valuator's use of valuation-models? </p><p>Purpose: The purpose of this study is to find out what relevance the substance valuation model has, the DCF-model has, and also discover new valuation-models, among company-valuators. </p><p>Method: The study was conducted as a qualitative interview-investigation. We interviewed three company-valuators and one company-partner, in four different consulting-firms. </p><p>Results: The study does only pay attention to the company-valuator's point of view. The substancevaluation-model is not frequently used. The DCF-model is the dominant valuation-model. Other used ways to value companies are relative valuation and real option valuation. Relative valuation is frequently used, while real options valuation is rare.</p>

Background: The difference between the market value and the book value of the companies has dramatically increased. One explanation is that the inflow of capital on the market has increased. Another explanation is that companies have a larger share of intellectual capital. The question is how this has influenced the company-valuator's use of valuation-models? Purpose: The purpose of this study is to find out what relevance the substance valuation model has, the DCF-model has, and also discover new valuation-models, among company-valuators. Method: The study was conducted as a qualitative interview-investigation. We interviewed three company-valuators and one company-partner, in four different consulting-firms. Results: The study does only pay attention to the company-valuator's point of view. The substancevaluation-model is not frequently used. The DCF-model is the dominant valuation-model. Other used ways to value companies are relative valuation and real option valuation. Relative valuation is frequently used, while real options valuation is rare.

Background: Businesses are traditionally valued with the so called Discounted Cash Flow-model. When valuing newly-started businesses, surrounded by high uncertainty, and whose capital mostly consists of unrealized business opportunities, the Discounted Cash Flow-model needs to be complemented if the total value of the business is to be captured. A valuation with the help of real options is capable of valuing these unrealized opportunities, which often exist in newly-started businesses. The unrealized opportunities are to be found in the business plan of the business, why this needs to be valued to capture the total value of a newly-started business. Purpose: To demonstrate what the use of real options can result in when valuing businesses. Realization: The fulfillment of the purpose was achieved by gathering information from a case company. Thereafter the case company was valued by putting the gathered information and made assumptions into suitable theoretical valuation models. Finally, an evaluation of the result was made. Findings: A valuation model, which includes real options can give a higher value on the business, but to beable to use real options one need to undertake some assumptions. These make the real option value uncertain to some extent. Real options can however function as a strategic tool. Firstly, the estimated option values can serve as indicators as to which decision to undertake within the business. Secondly, using real options can change the business management’s way to look at what creates value.

This thesis questions the connection between knowledge and finance and advances an account that links both in a two-folded way. The first level departs from what separates the two opposite views or alternative explanations about the value of knowledge. The source and essence of the extra profits in information goods or commodities, such as digital media contents and software, featuring increasing returns to scale owing to their peculiar cost structure manifested by a high fixed cost and very low constant marginal cost, is what separates the two views about the value of knowledge. In light of the near-decomposability/modularity hypothesis, the extra profits in information commodities should arise from &#039 / information hiding,&#039 / which is intrinsic to nearly-decomposable systems or modular architecture because they are built on an ignorance on the parts in regard to the other parts and the whole of system. Such (hidden) design information that gives rise to parts or modules creates, at the same time, the future paths of action or (real) options, according to real-options perspective. When the two perspectives are combined, knowledge production, as distinct from subsequent knowledge commodity production, basically becomes an option creation process. Then, it becomes possible to argue that the concurrence of knowledge and finance is not a coincidence at all because the logics of accumulation is no different but almost identical, which is the second level of the two-folded account attempted in this study. The main contribution of this thesis is to build an account that links financialization to knowledge via the notion of modularity. Such an account sees financialization as a reflection and consequence of a value-driven permanent innovation economy developed under the &#039 / IT paradigm&#039 / in order to exploit a surplus peculiar and intrinsic to the modular structure that makes &#039 / information hiding&#039 / an integral part of such architectures since they are by definition built on an ignorance on the parts in regard to the other parts and the whole of system.

This thesis questions the connection between knowledge and finance and advances an account that links both in a two-folded way. The first level departs from what separates the two opposite views or alternative explanations about the value of knowledge. The source and essence of the extra profits in information goods or commodities, such as digital media contents and software, featuring increasing returns to scale owing to their peculiar cost structure manifested by a high fixed cost and very low constant marginal cost, is what separates the two views about the value of knowledge. In light of the near-decomposability/modularity hypothesis, the extra profits in information commodities should arise from &#039 / information hiding,&#039 / which is intrinsic to nearly-decomposable systems or modular architecture because they are built on an ignorance on the parts in regard to the other parts and the whole of system. Such (hidden) design information that gives rise to parts or modules creates, at the same time, the future paths of action or (real) options, according to real-options perspective. When the two perspectives are combined, knowledge production, as distinct from subsequent knowledge commodity production, basically becomes an option creation process. Then, it becomes possible to argue that the concurrence of knowledge and finance is not a coincidence at all because the logics of accumulation is no different but almost identical, which is the second level of the two-folded account attempted in this study. The main contribution of this thesis is to build an account that links financialization to knowledge via the notion of modularity. Such an account sees financialization as a reflection and consequence of a value-driven permanent innovation economy developed under the &#039 / IT paradigm&#039 / in order to exploit a surplus peculiar and intrinsic to the modular structure that makes &#039 / information hiding&#039 / an integral part of such architectures since they are by definition built on an ignorance on the parts in regard to the other parts and the whole of system.