A traditional real option model is applied to a simulation of an oil production project. This analysis includes a carbon sequestration structure cost and possible revenues from carbon credit markets. The evaluation fo...A traditional real option model is applied to a simulation of an oil production project. This analysis includes a carbon sequestration structure cost and possible revenues from carbon credit markets. The evaluation focuses on the determination of an optimal timing for the investment in different scenarios, regarding the volatility of the uncertain variable, oil prices. Historical prices data from different moments are used to estimate different prices uncertainty scenarios and its impacts on the decision making on building a carbon sequestration structure. The results are compared between a real option model to the ones obtained using the traditional net present value evaluation. Trigger point of investments are defined for different scenarios with and without carbon sequestration. There is also an analysis of the effects on decision-making in different scenarios for carbon market prices. It is perceived an important difference in the decision making considering the different methods of economic analysis. The real option model is a fundamental valuation tool in periods of high price volatility and higher sunk costs added to a project such as the carbon sequestration structure. Greenhouse gas projects demand high oil prices, positive market trend expectation and volatility.展开更多
文摘A traditional real option model is applied to a simulation of an oil production project. This analysis includes a carbon sequestration structure cost and possible revenues from carbon credit markets. The evaluation focuses on the determination of an optimal timing for the investment in different scenarios, regarding the volatility of the uncertain variable, oil prices. Historical prices data from different moments are used to estimate different prices uncertainty scenarios and its impacts on the decision making on building a carbon sequestration structure. The results are compared between a real option model to the ones obtained using the traditional net present value evaluation. Trigger point of investments are defined for different scenarios with and without carbon sequestration. There is also an analysis of the effects on decision-making in different scenarios for carbon market prices. It is perceived an important difference in the decision making considering the different methods of economic analysis. The real option model is a fundamental valuation tool in periods of high price volatility and higher sunk costs added to a project such as the carbon sequestration structure. Greenhouse gas projects demand high oil prices, positive market trend expectation and volatility.
