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

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 revista › Artículo

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 original	Inglés estadounidense
Publicación	Espacios
Estado	Publicada - 1 ene 2017

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Arango, M. A., Montes, L. F., & Arboleda, D. C. (2017). Application of a real abandon option with Monte Carlo simulation and conditional volatility GARC: A case study for a mining investment project. Espacios. https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85033679635&origin=inward

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AU - Arango, Mónica A.

AU - Montes, Luis F.

AU - Arboleda, Diana C.

PY - 2017/1/1

Y1 - 2017/1/1

N2 - © 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.

AB - © 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.

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