A quantitative method for estimation of volatility of oil production projects

SPE Hydrocarbon Economics and Evaluation Symposium

Volumn , Issue , 2005, Pages 215-226

  Lima, G A C ^a   Suslick, S B ^a   Bordieri, C A ^a  

^a UNIVERSITY OF CAMPINAS   (Brazil)

Author keywords

Capital budgeting; Real options; Uncertainty; Volatility

Indexed keywords

CAPITAL BUDGETING; REAL OPTIONS; UNCERTAINTY; VOLATILITY;

BROWNIAN MOVEMENT; COMPUTER SIMULATION; INVESTMENTS; MATHEMATICAL MODELS; NUMERICAL METHODS; PARAMETER ESTIMATION; PROJECT MANAGEMENT; RISK ASSESSMENT; STOCHASTIC CONTROL SYSTEMS;

OIL WELL PRODUCTION;

EID: 27644555451     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (30)

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22. The explanation of the process of random number generation and Monte Carlo technique is beyond the scope of this paper, but some references can be found in Jackel (2000), Broadie and Glasserman (1996).
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27. LIMA, G. A. C., SUSLICK, S.B Impacts of environmental constraints on the optimal decision-making process applied to Brazilian petroleum industry, Journal of Canadian Petroleum Technology, 41, p. 37-43, (2002).
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29. Lima, Gabriel A. C., Suslick, Saul B. Volatility of mineral and petroleum projects. Working paper, LAGE - Laboratory of Geoeconomic Analysis of Mineral Resource, State University of Campinas, 20p, (2005) (in Portuguese).
30. Assuming an elasticity of 1, means that project volatility is the same of oil price. More details about the analytical development can be found analytically in Lima and Suslick (2005).