Application of a real abandon option with Monte Carlo simulation and conditional volatility GARC: A case study for a mining investment project

Mónica A. Arango, Luis F. Montes, Diana C. Arboleda

Resultado de la investigación: Contribución a una revistaArtículo

1 Cita (Scopus)

Resumen

© 2017. In the present work, a study is carried out to determine the financial viability of an investment project in the mining sector, which aims at the extraction of underground gold. In this, the volatility of the gold price is analyzed as a fundamental input, for which the Box Jenkins methodology is used, estimating an econometric model of GARCH volatility. Additionally, the results obtained are contrasted with Monte Carlo simulation.
Idioma originalInglés estadounidense
PublicaciónEspacios
EstadoPublicada - 1 ene 2017

Huella Profundice en los temas de investigación de 'Application of a real abandon option with Monte Carlo simulation and conditional volatility GARC: A case study for a mining investment project'. En conjunto forman una huella única.

  • Citar esto