Options in the real world: Lessons learned in evaluating oil and gas investments

Operations Research

Volumn 47, Issue 1, 1999, Pages 1-15

  Smith, James E ^a   Mccardle, Kevin F ^a  

^a DUKE UNIVERSITY   (United States)

Author keywords

Decision analysis, applications: evaluating oil and gas investments; Finance: investments, real options

Indexed keywords

EID: 0003316318     PISSN: 0030364X     EISSN: None     Source Type: Journal    
DOI: 10.1287/opre.47.1.1     Document Type: Article

References (23)

1. Barone-Adesi, G., R. E. Whaley. 1987. Efficient analytic approximation of American option values. J. Finance 42 301-320.
2. Bertsekas, D. P. 1995. Dynamic Programming and Optimal Control: Volumes I and II. Athena Scientific, Belmont, MA.
3. Black, F., M. Scholes. 1973. The pricing of options and corporate liabilities. J. Political Economy 81 637-659.
4. Brealey, R., S. Myers. 1991. Principles of Corporate Finance. Fourth Edition. McGraw-Hill, New York.
5. Brennan, M. J., E. S. Schwartz. 1985. Evaluating natural resource investments. J. Business 58 135-157;
6. see also M. Brennan and E. Schwartz 1985. A new approach to evaluating natural resource investments. Midland J. Applied Corporate Finance 3 37-47.
7. Copeland, T., T. Koller, J. Murrin. 1990. Valuation: Measuring and Managing the Value of Companies. John Wiley and Sons, New York.
8. Cox, J., S. Ross, M. Rubinstein. 1979. Option pricing: a simplified approach. J. Financial Econom. 7 229-263.
9. Dixit, A. K., R. S. Pindyck. 1994. Investment Under Uncertainty. Princeton University Press, Princeton, NJ.
10. Duffie, D. 1992. Dynamic Asset Pricing Theory. Princeton University Press, Princeton, NJ.
11. Harrison, J. M., D. M. Kreps. 1979. Martingales and arbitrage in multiperiod securities markets. J. Econom. Theory 20 381-408.
12. Howard, R. A. 1996. Options. Wise Choices. R. J. Zeckhauser, R. L. Keeney, J. K. Sebenius (eds.). Harvard Business School Press, Boston, MA.
13. Kemna, A. G. Z. 1993. Case studies on real options. Financial Management 22 259-270.
14. Lehman, J. 1989. Valuing oilfield investments using option pricing theory. Proc. Soc. Petroleum Engineers 18923 125-136.
15. Luenberger, D. G. 1997. Investment Science. Oxford University Press, New York.
16. Merton, R. C. 1973. The theory of rational option pricing. Bell J. Econom. Management Sci. 4 141-183.
17. Paddock, J. L., D. R. Siegel, J. L. Smith. 1988. Option valuation of claims on real assets: the case of offshore petroleum leases. Quarterly J. Economics 103 479-508;
18. see also D. R. Siegel, J. L. Smith, J. L. Paddock. 1987. Valuing Offshore Oil with Option Pricing Models. Midland Corporate Finance J. 5 22-30.
19. Smith, J. E. 1996. Fisher separation and project valuation in partially complete markets. Working Paper. Fuqua School of Business, Duke University, Durham, NC.
20. _, R. F. Nau. 1995. Valuing risky projects: option pricing theory and decision analysis. Management Sci. 41 795-816.
21. _, K. F. McCardle. 1996. Valuing oil properties: integrating option pricing and decision analysis approaches, Oper. Res. 46 198-217.
22. Trigeorgis, L. 1990. A real options application in natural resource investments. Advances in Futures and Options Res. 4 153-164.
23. _. 1996. Real Options: Managerial Flexibility and Strategy in Resource Allocation. MIT Press, Cambridge, MA.