ESTUDIO, ANÁLISIS Y EVALUACIÓN ECONÓMICA DE UN PROYECTO DE INVERSIÓN DE ALTA INCERTIDUMBRE, MEDIANTE EL ALGORITMO LEAST SQUARE MONTECARLO DE LONGSTAFF Y SCHWARTZ.

In this paper, we analyse and compare the results obtained by the economical value of an investment project, through the traditional methods of project evaluation (VAN>0) and the real option methodology introduced by S. Myers in 1977. On this purpose, by using the Least Square Montecarlo (LSM), we value two possible American options, under two different investment strategies that we can apply for the first four years of the project lifetime; the first option is a simple wait option, the second one is a wait and expansion sequential compound option. The underlying evolution is modelled by an mean reversion process and an arithmetic Brownian process, based on historical data available. We concluded that the optimal strategy to implement was to sequentially invest in two steps: postponed the first step of two years and invests after this period 68% of the total capital allocated. In this step, the system only works at 75% of the required capacity. The second investment step needs four years more to be achieved and will represent 32% of the capital initially allocated: it will therefore complete the system capacity at 100%. [ABSTRACT FROM AUTHOR]