000			01425nab a2200193 4500
005			20260520001751.0
008			260224s2009 xxu
245	0	0	_aA methodology to evaluate an option to defer an oilfield development
260			_a _b _cmayo 2009
270			_a07/06/2010 ; 07/06/2010
300			_a8 p. ; 60-68
520			_aTranscripción 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.
581			_a1-2
773	0		_tJournal of Petroleum Science & Engineering _g66
942			_cARTICULO
100	1		_aAbid, Fathi _942205
100	1		_aKaffel, Bilel _942206
999			_c170755 _d170755