Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/103543
Type: Artigo de periódico
Title: Estimating The Volatility Of Projects Of Mineral Goods [estimativa Da Volatilidade De Projetos De Bens Minerais]
Author: Lima G.A.C.
Suslick S.B.
Abstract: Projecting the volatility of a mineral asset depends on its future cash-flow, and as such, should be estimated using its intrinsic economical-financial and operational characteristics instead of its past history. Because of lack of information, in many cases, it is assumed that the project and commodity (oil, gold, as well as other commodity minerals) share the same volatility. Nevertheless, this approach may give misleading results. This paper proposes a framework to estimate the volatility of oil and gold considering that commodity price evolves over time following a Geometric Brownian Motion Model or Mean-Reversion Motion Model. Main results indicate that project volatility is equal to that of its commodity only in very special cases, i.e., low operational costs and high prices, which is currently unrealistic for most industries.
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Rights: aberto
Identifier DOI: 
Address: http://www.scopus.com/inward/record.url?eid=2-s2.0-33745144991&partnerID=40&md5=da04596507c1395d6f0ddd92f493c584
Date Issue: 2006
Appears in Collections:Unicamp - Artigos e Outros Documentos

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