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dc.contributor.authorLautier, Delphine
dc.date.accessioned2009-07-21T11:14:24Z
dc.date.available2009-07-21T11:14:24Z
dc.date.issued2003
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/1249
dc.language.isoenen
dc.subjectTerm structureen
dc.subjectOil fielden
dc.subjectReal optionen
dc.subjectCrude oilen
dc.subjectConvenience yielden
dc.subjectStochastic Modelsen
dc.subject.ddc332en
dc.subject.classificationjelB23en
dc.subject.classificationjelO13en
dc.subject.classificationjelG11en
dc.titleValuation of an oil field using real options and the information provided by term structures of commodity pricesen
dc.typeCommunication / Conférence
dc.description.abstractenThis 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.en
dc.identifier.citationpages10en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle7th Annual Real Options Conferenceen
dc.relation.confdate2003-07
dc.relation.confcityWashingtonen
dc.relation.confcountryÉtats-Unisen


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