The following graphs show the sensitivity analysis of the base case of extendible option using the jump-reversion model. For an overview of stochastic process including jump-diffusion models like our, go to the Stochastic Process Webpage

First is presented the base case values for the parameters, as well as the notation used:

Now several sensitivity analysis:

The next figure shows the sensitivity of the thresholds with the ** total** time to expiration.

In reality, only for the threshold at t = 0 the

This is also displayed in the picture below, see that for total time of 10 years and 12 years, both has 4 years in the second period (see in the X-axis scale the break of the total expiration time) and the T1 thresholds values don't change.

The chart below presents the sensitivity of the thresholds with the economic quality of a
developed reserve (q).

In this analysis, the NPV of the underlying asset changes with q. So, the chart reflect large changes
in the underlying asset value (NPV/barrel = qP - D).