Options in the Real World: Lessons Learned in Evaluating Oil and Gas Investments

DOI10.1287/OPRE.47.1.1MaRDI QIDQ4545689zbMATH OpenOpenAlexFDO

Authors James E. Smith, Kevin McCardle

Publication date 1999

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.47.1.1

zbMATH Keywords

decision analysisoil and gas businessoption princing methods

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Decision theory (91B06) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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Cited in

(21)

• Using analysis to influence strategic-decision making: option valuation at ECGD
• Comparison of least squares Monte Carlo methods with applications to energy real options
• Decision-making in incomplete markets with ambiguity -- a case study of a gas field acquisition
• Valuing flexibility in offshore petroleum projects
• Combining system dynamic modeling and the Datar-Mathews method for analyzing metal mine investments
• Nonparametric approach to rank global petroleum business opportunities
• Switching from oil to gas production in a depleting field
• Valuing Risky Projects: Option Pricing Theory and Decision Analysis
• Optimal entry and exit decisions under uncertainty and the impact of mean reversion
• Valuing interdependent multi-stage IT investments: a real options approach
• Mature offshore oil field development: solving a real options problem using stochastic dual dynamic integer programming
• Merchant commodity storage practice revisited
• Discounted utility and present value -- a close relation
• Multiple Volatility Real Options Approach to Investment Decisions Under Uncertainty
• Project options valuation with net present value and decision tree analysis
• Optimal Sequential Investment Decision-Making with Jump Risk
• A review of the operations literature on real options in energy
• Evaluating income streams: A decision analysis approach
• Decision analysis and real options: a discrete time approach to real option valuation
• Discrete time modeling of mean-reverting stochastic processes for real option valuation
• The valuation of multidimensional American real options using the LSM simulation method

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