Oil price volatility: A real option valuation approach in an African oil field

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• 作者：Marcelo Nunes Fonseca^a ; ^{marcelonunes21@yahoo.com.br} ; Edson de Oliveira Pamplona^a ; ^{pamplona@unifei.edu.br} ; Victor Eduardo de Mello Valerio^a ; ^{victor.dmv@gmail.com} ; Giancarlo Aquila^a ; ^{giancarlo.aquila@yahoo.com} ; Luiz Cé ; lio Souza Rocha^a ; ^{luizrochamg@hotmail.com} ; Paulo Rotela Junior^b ; ^{paulo.rotela@gmail.com}
• 关键词：Exploration ; Production ; Production forecast ; Oil price volatility ; Geometric Brownian motion ; Real option valuation
• 刊名：Journal of Petroleum Science and Engineering
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：150
• 期：Complete
• 页码：297-304
• 全文大小：427 K
• 卷排序：150

文摘

The impact of oil price uncertainty is analyzed for an African oil project. Geometric Brownian motion is used to model prices. Petrel® and Eclipse® software are used to calculate production profiles. A timing option and interaction between a scale and a timing option were evaluated. Managerial flexibility added value to the project and changed the decision.