Implementing a Real Option Model for Valuing an Undeveloped Oil Field

DOI10.1111/J.1475-3995.1997.TB00069.XMaRDI QIDQ4354950zbMATH OpenOpenAlexFDO

Authors Gonzalo Cortazar, Eduardo S. Schwartz

Publication date 17 September 1997

Published in International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10533/197420

zbMATH Keywords

contingent claimsreal optionstiming investment optionundeveloped oil field

Mathematics Subject Classification ID

Case-oriented studies in operations research (90B90) Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

• Options in the Real World: Lessons Learned in Evaluating Oil and Gas Investments
• Valuing flexibility in offshore petroleum projects
• Mature offshore oil field development: solving a real options problem using stochastic dual dynamic integer programming
• Optimal oil production and the world supply of oil
• Model risk in real option valuation

Cites work

• Evaluating environmental investments: a real options approach
• Investments in flexible production capacity

Cited in

(10)

• Rescaling-contraction with a lower cost technology when revenue declines
• An RBF approach for oil futures pricing under the jump-diffusion model
• Valuing flexibility in offshore petroleum projects
• Re-evaluating natural resource investments under uncertainty: an alternative to limited traditional approaches
• Switching from oil to gas production in a depleting field
• Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil
• Mature offshore oil field development: solving a real options problem using stochastic dual dynamic integer programming
• Options in the Real World: Lessons Learned in Evaluating Oil and Gas Investments
• Stochastic models for oil prices and the pricing of futures on oil
• The valuation of multidimensional American real options using the LSM simulation method

This page was built for publication: Implementing a Real Option Model for Valuing an Undeveloped Oil Field

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4354950)