Models for estimation of the optimal investment timing in deep-waters projects / Modelos para estimativa do momento otimo de investimento em projetos em aguas profundas utilizando opções reais

AUTOR(ES)
DATA DE PUBLICAÇÃO

2007

RESUMO

This work proposes two Real Options models for economic evaluation of E&P projects located in deep-water. The models consider the effects of uncertainties related to the oil price and the process of technological evolution. These models are useful for undeveloped reserves of heavy oil in deep-water that depict a great level of uncertainty, as the available technologies do not support the economic feasibility of the production development of such fields. The effects of technology impact on operational costs, and prices are modeled using a Geometric Brownian Motion stochastic process. The first model supposes that technology evolution is modeled with random jumps representing gains in efficiency and uses only one stochastic variable, which are obtained through an analytical solution. The second model employs a logistic utility function to model the technological evolution process and a numerical procedure (Monte Carlo Simulation) is used as a solution, using two stochastic variables. The developed models estimate the waiting option values and the optimal timing for investment for the decision process

ASSUNTO(S)

petroleo - aspectos econômicos avaliação de riscos incerteza real options engenharia economica teoria economica economic evaluation technological uncertainty

ACESSO AO ARTIGO

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