Utilização de opções reais na avaliação de Startups

  • Marta Queiroz Ferreira Gaia Brás (Student)

Student thesis: Master's Thesis


The valuation of companies during their initial stage is extremely difficult for investors due to the lack of availability of financial data. In these situations, the most used valuation method, which consists in estimating in a relatively rigid way the free cash flows (FCF), growth and discount rates, is very prone to information asymmetry problems between the investor and the entrepreneur. In many cases, the investment is done in seed stages, when the company is performing investigation and development. At this stage, there is a big possibility that the projects are not viable, generating full capital loss for the investors. The option valuation model used in this work, aims to solve this problems. It was built to offer the possibility of comparing the following hypothesis: immediately financing the total investment, acquiring a call option (corresponding to the following capitalization on the investment) with a six month expiration time, or not investing at all. The valuation method used is called “integrated method of valuation” and distinguishes from the other models by allowing risk to be divided into two types – public and private – and then evaluating them separately. The first is valued with risk neutral binomial trees. The private risk, on the other hand, is inherent to the business itself and requires the utilization of subjective estimation methods.
Date of Award2015
Original languagePortuguese
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorLuis Pacheco (Supervisor)


  • Valuation through real options
  • Integrated valuation
  • Decision trees
  • Private risks
  • Public risks


  • Mestrado em Finanças

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