Abstract

MILANESI, Gastón Silverio. Simple and complex option valuation in financial leasing. estud.gerenc. [online]. 2016, vol.32, n.138, pp.25-34. ISSN 0123-5923.  https://doi.org/10.1016/j.estger.2015.08.004.

The value of leasing agreements is a function of the present value of the payments plus the operative real options. The equivalent loan method (ELM), widely applied in leasing valuation, fails because it does not incorporate the options embedded in the contract. The paper proposes a model of valuation that combines the ELM and the binomial approach for valuing real options. The mathematical approach and its application for simple (purchase, early cancellation; roll over) and compound options (venture leasing; percentage leasing; deferred payment; deferred payment and purchase); showing the model's ability to calculate the current expanded value of the contract, such as the sum of the payment of the present value and operative options.

Keywords : Leasing; Simple options; Compound options; Expanded value.

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