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Monte Carlo evaluation model of an undeveloped oil field

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  • Cortazar, Gonzalo
  • Schwartz, Eduardo S.

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  • Cortazar, Gonzalo & Schwartz, Eduardo S., 1998. "Monte Carlo evaluation model of an undeveloped oil field," Journal of Energy Finance & Development, Elsevier, vol. 3(1), pages 73-84.
    • Handle: RePEc:eee:jefdev:v:3:y:1998:i:1:p:73-84
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    References listed on IDEAS

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    1. Schwartz, Eduardo S, 1997. "The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-973, July.
    2. Gibson, Rajna & Schwartz, Eduardo S, 1990. "Stochastic Convenience Yield and the Pricing of Oil Contingent Claims," Journal of Finance, American Finance Association, vol. 45(3), pages 959-976, July.
    3. Brennan, Michael J & Schwartz, Eduardo S, 1985. "Evaluating Natural Resource Investments," The Journal of Business, University of Chicago Press, vol. 58(2), pages 135-157, April.
    4. Barraquand, Jérôme & Martineau, Didier, 1995. "Numerical Valuation of High Dimensional Multivariate American Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(3), pages 383-405, September.
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    Cited by:

    1. Hervé-Mignucci, Morgan, 2011. "Rôle du signal prix du carbone sur les décisions d'investissement des entreprises," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/8200 edited by Keppler, Jan Horst.
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    3. Shuyang Chen & Lin Pan & Xiao Wang & Honggang Liang & Tian Dong, 2022. "Efficient Simulation of Sandbody Architecture Using Probability Simulation—A Case Study in Cretaceous Condensate Gas Reservoir in Yakela Area, Tahe Oilfield, China," Energies, MDPI, vol. 15(16), pages 1-17, August.
    4. repec:dau:papers:123456789/1245 is not listed on IDEAS
    5. Abadie, Luis M. & Chamorro, José M., 2009. "Monte Carlo valuation of natural gas investments," Review of Financial Economics, Elsevier, vol. 18(1), pages 10-22, January.
    6. Sebastian Maier, 2021. "Re-evaluating natural resource investments under uncertainty: An alternative to limited traditional approaches," Annals of Operations Research, Springer, vol. 299(1), pages 907-937, April.
    7. repec:dau:papers:123456789/95 is not listed on IDEAS
    8. Guedes, José & Santos, Pedro, 2016. "Valuing an offshore oil exploration and production project through real options analysis," Energy Economics, Elsevier, vol. 60(C), pages 377-386.
    9. Wang, Xiao & Pan, Lin & Lau, Hon Chung & Zhang, Ming & Li, Longlong & Zhou, Qiao, 2018. "Reservoir volume of gas hydrate stability zones in permafrost regions of China," Applied Energy, Elsevier, vol. 225(C), pages 486-500.
    10. Gordon Sick & Andrea Gamba, 2010. "Some Important Issues Involving Real Options: An Overview," Multinational Finance Journal, Multinational Finance Journal, vol. 14(1-2), pages 73-123, March-Jun.
    11. Siña, Matías & Guzmán, Juan Ignacio, 2019. "Real option valuation of open pit mines with two processing methods," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 30-39.
    12. Augusto Castillo, 2004. "Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(124), pages 345-360.
    13. Meade, Nigel, 2010. "Oil prices -- Brownian motion or mean reversion? A study using a one year ahead density forecast criterion," Energy Economics, Elsevier, vol. 32(6), pages 1485-1498, November.
    14. repec:dau:papers:123456789/1046 is not listed on IDEAS
    15. Rocío Sáenz‐Diez & Ricardo Gimeno & Carlos De Abajo, 2008. "Real Options Valuation: A Case Study of an E‐commerce Company," Journal of Applied Corporate Finance, Morgan Stanley, vol. 20(2), pages 129-143, March.
    16. Hahn, Warren J. & DiLellio, James A. & Dyer, James S., 2018. "Risk premia in commodity price forecasts and their impact on valuation," Energy Economics, Elsevier, vol. 72(C), pages 393-403.
    17. repec:dau:papers:123456789/6782 is not listed on IDEAS

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