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.
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.
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).