Transcripción del resumen del autor. The purpose of this paper is the valuation of an option to defer an oilfield development. A methodology is implemented in order to choose the appropriate continuous-time stochastic processes for these risk factors: the crude oil price, the convenience yield and the risk-free interest rate. The analysis reveals that the convenience yield follows a mean-reverting process, the oil price is better fitted by the Geometric Brownian Motion with jumps and the risk-free interest rate can be considered constant. The valuation of the option to defer is based on the Monte-Carlo simulation adapting the Least-Squares simulation method for valuing American type options. Results indicate that using multi-factor pricing models leads to reject the project unlike the one-factor pricing model which leads to later investing at the option maturity.

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