Abstract
This appendix presents the analytical model of the expansion option problem shown in Chapter 5. The characteristics of this problem are similar to those of the problem analyzed by Batista in [1] and by Dixit and Pindyck in [2].
Dixit and Pindyck establish an analogy between a real option and a financial call option where the underlying asset price, the project value V, follows an exogenous stochastic process.
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References
Batista, F.R.S.: Avaliação de Opções de Investimento em Projetos de Exploração e Produção de Petróleo por Meio da Fronteira de Exercício Ótimo da Opção, Master’s Dissertation, Department of Industrial Engineering, PUC-RIO (2002)
Dixit, A.K., Pindyck, R.S.: Investment under Uncertainty. Princeton University Press, Princeton (1994)
Dias, M.A.G.: Investimento Sob Incerteza em Exploração & Produção de Petróleo, Master’s Dissertation, Department of Industrial Engineering, PUC-RIO (1996)
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Lazo, J.G.L. (2009). Appendix G – Analytical Model of the Expansion Option Problem. In: Pacheco, M.A.C., Vellasco, M.M.B.R. (eds) Intelligent Systems in Oil Field Development under Uncertainty. Studies in Computational Intelligence, vol 183. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-93000-6_14
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DOI: https://doi.org/10.1007/978-3-540-93000-6_14
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