Switching from oil to gas production in a depleting field
作者: Kristian StøreStein-Erik FletenVerena HagspielCláudia Nunes
作者单位: 1Nord University Business School, Bodø 8049, Norway
2Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology (NTNU), Trondheim 7491, Norway
3CEMAT, Instituto Superior Técnico, Universidade de Lisboa, Av. Rovisco Pais, Lisboa 1049-001, Portugal
刊名: European Journal of Operational Research, 2018
来源数据库: Elsevier Journal
DOI: 10.1016/j.ejor.2018.05.043
关键词: OR in energySwitching optionPetroleumInvestment under uncertainty
原始语种摘要: Abstract(#br)We derive an optimal decision rule with regards to making an irreversible switch from oil to gas production. The approach can be used by petroleum field operators to maximize the value creation from a petroleum field with diminishing oil production and remaining gas reserves. Assuming that both the oil and gas prices follow a geometric Brownian motion we derive an analytical solution for the exercise threshold. We also propose an explicit solution for the option value that is new to the literature. Numerical examples are used to demonstrate the threshold and option value for a generic petroleum field. Both the threshold and option value solutions are relevant for application to other real options cases with similar features (e.g. other types of switching options or a...
全文获取路径: Elsevier  (合作)
影响因子:2.038 (2012)

  • option 选择
  • production 生产
  • uncertainty 不定
  • diminishing 衰减
  • Switching 切换
  • irreversible 不可逆的
  • perpetual 永久的
  • field 
  • prices 行情
  • optimal 最佳的