The commodity super price cycle and real options: implications for the Greeks of mining firms

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Resumo

The Real Options Approach (ROA) to the management and valuation of mining firms should impart a distinctive pattern to the time path of the Greeks displayed by such firms during the recent price super cycle. This paper simulates the delta, gamma, vega and rho of a gold mining firm holding a portfolio of heterogeneous mines over the recent gold price cycle, to find out the telltale signs that the ROA should leave on the trajectories exhibited by such variables during that period. We show that the ROA and the standard NPV approach to mine management and valuation predict markedly different trajectories for the Greeks.
Idioma originalEnglish
Páginas (de-até)33-46
Número de páginas14
RevistaReview of Financial Economics
Volume36
Número de emissão1
DOIs
Estado da publicaçãoPublicado - jan. 2018

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