Date
2003
Dewey
Economie financière
Sujet
Term structure; Oil field; Real option; Crude oil; Convenience yield; Stochastic Models
JEL code
B23; O13; G11
Conference name
7th Annual Real Options Conference
Conference date
07-2003
Conference city
Washington
Conference country
États-Unis
Type
Communication / Conférence
Item number of pages
10
Abstract (EN)
This article emphasises that the information provided by term structures of commodity prices has an influence on the real option value and on the investment decision. We exhibit first of all the analysis framework: the evaluation of an oil field. We suppose that a single source of uncertainty - the crude oil price - affects the investment decision. We also present the two term structure models used to represent the dynamic behaviour of this price and to evaluate the net cash flows of the field. Then we present the real options valuation method. Lastly, simulations illustrate the sensibility of the real options to the term structure of commodity prices, and we analyse the investment signals given by the optional method. Our principal conclusions are twofold. Firstly, to understand the behaviour of the real option, it is essential to take into account the information given by the term structure of prices. Secondly, for some specific price curves, the investment signal associated with the optional method does not differ from the one given by the net present value.