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- Title
Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad.
- Authors
González-Echeverri, Germán; Mora-Valencia, Andrés; Solano, Juan Gregorio
- Abstract
The aim of this paper is to evaluate the possibility of expanding an integrated network of health services using real options valuation. Four methods for estimating the volatility parameter are analyzed, two of which are applied in real options: Market Asset Disclaimer and Market Approach. Two methods commonly used in financial options are also proposed: implied volatility by Merton model and implied volatility estimated by Newton-Raphson. The results show that the volatility estimated by the proposed methods is similar to that obtained by the traditional Market Asset Disclaimer method. The main contribution of this paper is the construction of the volatility smile for real options, and it is easy to implement.
- Subjects
COLOMBIA; FINANCING of national health services; REAL options (Finance); MARKET volatility; RETURN on assets; MEDICAL care; STOCHASTIC processes
- Publication
Estudios Gerenciales, 2015, Vol 31, Issue 136, p287
- ISSN
0123-5923
- Publication type
Article
- DOI
10.1016/j.estger.2015.03.004