Valuation of Real Options in Crude Oil Production
dc.contributor.author | Abadie, Luis María | |
dc.contributor.author | Chamorro Gómez, José Manuel | |
dc.date.accessioned | 2019-01-07T18:05:21Z | |
dc.date.available | 2019-01-07T18:05:21Z | |
dc.date.issued | 2017-08-17 | |
dc.identifier.citation | Energies 10(8) : (2017) // Article ID 1218 | es_ES |
dc.identifier.issn | 1996-1073 | |
dc.identifier.uri | http://hdl.handle.net/10810/30654 | |
dc.description.abstract | Oil producers are going through a hard period. They have a number of real options at their disposal. This paper addresses the valuation of two of them: the option to delay investment and the option to abandon a producing field. A prerequisite for this is to determine the value of a producing well. For this purpose we draw on a stochastic model of oil price with three risk factors: spot price, long-term price, and spot price volatility. This model is estimated with spot and futures West Texas Intermediate (WTI) oil prices. The numerical estimates of the underlying parameters allow calculate the value of a producing well over a fixed time horizon. We delineate the optimal boundary that separates the investment region from the wait region in the spot price/unit cost space. We similarly draw the boundary governing the optimal exercise of the option to abandon and the one governing the active/inactive production decision when there is no such option. | es_ES |
dc.description.sponsorship | The authors gratefully acknowledge financial support from the Spanish Ministry of Science and Innovation ECO2015-68023 and the Basque Government IT799-13. We also thank seminar participants at the 8th Research Workshop on Energy Markets (Universitat de Valencia, 30 March 2017) for their comments. Usual disclaimer applies. | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | MDPI | es_ES |
dc.relation | info:eu-repo/grantAgreement/MINECO/ECO2015-68023 | es_ES |
dc.rights | info:eu-repo/semantics/openAccess | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by/3.0/es/ | * |
dc.subject | oil price | es_ES |
dc.subject | stochastic processes | es_ES |
dc.subject | futures prices | es_ES |
dc.subject | least-squares Monte Carlo | es_ES |
dc.subject | option to delay | es_ES |
dc.subject | option to abandon | es_ES |
dc.title | Valuation of Real Options in Crude Oil Production | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.rights.holder | © 2017 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/). | es_ES |
dc.rights.holder | Atribución 3.0 España | * |
dc.relation.publisherversion | https://www.mdpi.com/1996-1073/10/8/1218 | es_ES |
dc.identifier.doi | 10.3390/en10081218 | |
dc.departamentoes | Economía financiera II | es_ES |
dc.departamentoeu | Finantza ekonomia II | es_ES |
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Except where otherwise noted, this item's license is described as © 2017 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).