Analise das Opões reais de um empreendimento de mineração utilizando simulação de Monte carlo

Abstract

Mining projects demand large capital expenditure and are subject to high uncertainty, related to metal price and exchange rate. In this context, the traditional Discounted Cash Flow analysis tends to underestimate the value of the project. Real Options Analysis incorporates the value of managerial flexibility in uncertain conditions and, therefore, is a better suited valuation technique. This study values a project that consists of the exploration of a zinc and copper mine and the concentration of these metals based on the Real Option Analysis. The Real Options model incorporates two European options: abandonment and expansion. Thenumerical method used was the Monte Carlo simulation. Three alternatives to treat the uncertainty were created and compared: modeling of the zinc price as a Geometric Brownian Motion; modeling of the zinc price as a Mean Reverting Process; and modeling each metal price as a Mean Reverting Process, plus modeling the exchange rate as a Geometric Brownian Motion. This studys contribution is to demonstrate that Real Options Analysis, by considering the value of the contingent options existent in a project, can lead to different decisions compared to that obtained by the traditional analysis. Furthermore it gives insightsabout the implementation strategy of the project.