Abstract

GONZALEZ-ECHEVERRI, Germán; MORA-VALENCIA, Andrés  and  SOLANO, Juan Gregorio. Real options applied to integrated health services delivery networks using different methods to estimate volatility. estud.gerenc. [online]. 2015, vol.31, n.136, pp.287-298. ISSN 0123-5923.  https://doi.org/10.1016/j.estger.2015.03.004.

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.

Keywords : Health Care Services; Valuation; Real options; Implied volatility.

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