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To Frack or Not to Frack: Option Value Analysis on the U.S. Natural Gas Market

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  • Davis, Rebecca J.
  • Sims, Charles

Abstract

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Suggested Citation

  • Davis, Rebecca J. & Sims, Charles, 2016. "To Frack or Not to Frack: Option Value Analysis on the U.S. Natural Gas Market," 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts 235642, Agricultural and Applied Economics Association.
  • Handle: RePEc:ags:aaea16:235642
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    File URL: http://purl.umn.edu/235642
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    References listed on IDEAS

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    1. Vivek Ghosal, 2010. "Quantifying The Role Played By Sunk Capital Costs In Real-Options Models," Scottish Journal of Political Economy, Scottish Economic Society, vol. 57(s1), pages 343-358, July.
    2. Cortazar, Gonzalo & Casassus, Jaime, 1998. "Optimal Timing of a Mine Expansion: Implementing a Real Options Model," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 755-769.
    3. Mason, Charles F. & A. Wilmot, Neil, 2014. "Jump processes in natural gas markets," Energy Economics, Elsevier, vol. 46(S1), pages 69-79.
    4. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
    5. Wang, Zhongmin & Krupnick, Alan, 2013. "A Retrospective Review of Shale Gas Development in the United States: What Led to the Boom?," Discussion Papers dp-13-12, Resources For the Future.
    6. Marten, Alex L. & Moore, Christopher C., 2011. "An options based bioeconomic model for biological and chemical control of invasive species," Ecological Economics, Elsevier, vol. 70(11), pages 2050-2061, September.
    7. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
    8. Nostbakken, Linda, 2006. "Regime switching in a fishery with stochastic stock and price," Journal of Environmental Economics and Management, Elsevier, vol. 51(2), pages 231-241, March.
    9. Insley, Margaret, 2002. "A Real Options Approach to the Valuation of a Forestry Investment," Journal of Environmental Economics and Management, Elsevier, vol. 44(3), pages 471-492, November.
    10. Margaret Forsyth, 2000. "On estimating the option value of preserving a wilderness area," Canadian Journal of Economics, Canadian Economics Association, vol. 33(2), pages 413-434, May.
    11. Ryan Kellogg, 2014. "The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling," American Economic Review, American Economic Association, vol. 104(6), pages 1698-1734, June.
    12. Conrad, Jon M. & Kotani, Koji, 2005. "When to drill? Trigger prices for the Arctic National Wildlife Refuge," Resource and Energy Economics, Elsevier, vol. 27(4), pages 273-286, November.
    13. Abdullah Almansour and Margaret Insley, 2016. "The Impact of Stochastic Extraction Cost on the Value of an Exhaustible Resource: An Application to the Alberta Oil Sands," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
    14. James L. Paddock & Daniel R. Siegel & James L. Smith, 1988. "Option Valuation of Claims on Real Assets: The Case of Offshore Petroleum Leases," The Quarterly Journal of Economics, Oxford University Press, vol. 103(3), pages 479-508.
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    More about this item

    Keywords

    risk and uncertainty; real options; energy economics; Resource /Energy Economics and Policy; Risk and Uncertainty; Q41;

    JEL classification:

    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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