Real Options in Petroleum: The Models

In this section of the website, there are the following main features:

Real Options in Petroleum: The Classic Model. Paddock & Siegel & Smith model and American call option analogy.

Option Valuation for the Classic Model: The deduction of the partial differential equation using the contingent claims approach.

Linear and Nonlinear Models for the Underlying Asset V(P) and the NPV Equation
. Including Excel spreadsheets to download. NEW!

The Economic Quality of a Developed Reserve. With application on mutually exclusive project selection under uncertainty.

Petroleum Concessions with Extendible Options Using Mean-Reversion + Jumps to Model Oil Prices.

Technical Uncertainty, Investment in Information, Information Revelation, and Revelation Distribution. UPDATED!

OBS: The online paper named "Real Options in Upstream Petroleum: Overview of Models and Applications" was deleted because a new version of this paper was submitted to publication (forthcoming in a special real options issue of Journal of Petroleum Science and Engineering, from Elsevier).

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