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JUEVES 30 DE MARZO DE 2000 - page 44 / 45

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EFECTOS DE SOBREVALUACIÓN DE OPORTUNIDADES DE CRECIMIENTO

Vu

130

Vd

95

r

5%

k

10%

p

43%

2 * Vi

K

200

Max (2 * Vi-K, 0)

260

Initial value for the parameters

Expansion's Pay off Investment cost Net payoff

Initial Values

Increase on Vu to 140

Decrease on Vd to 85

Increase on risk free rate r to 7%

Present value of the asset

100

103.9

94.8

100

Increase on

Increase

risk adjusted on probability

rate k to 12%

p to 50%

98.2

102.3

Risk neutral probability p

29%

31%

32%

34%

23%

35%

Growth option value under traditional DCF

23.4

31.2

23.4

23.4

23.0

27.3

Growth option value under risk neutral valuation

16.3

23.9

18.5

19.2

13.3

20.2

Extent of overvaluation

44%

31%

27%

22%

73%

35%

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