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Optimal oil production and the world supply of oil /
We study the optimal oil extraction strategy and the value of an oil field using a multiple real option approach. The numerical method is flexible enough to solve a model with several state variables, to discuss the effect of risk aversion, and to take into account uncertainty in the size of reserve...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Autor Corporativo: | |
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
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| Colección: | IMF working paper ;
WP/12/294. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover; Contents; I. Introduction; II. Related Literature; A. Optimal Oil Production; B. Numerical Solutions for Real Options; III. Model Formulation and Numerical Solution; A. Model Formulation; B. Numerical Solution; IV. Oil Price and Extraction Costs Models; Tables; 1. Parameters of the Oil Price Process (OLS on Yearly Data for the Period 1957-2008); 2. Parameters of the Schwartz-Smith (2000) Price Process Estimated on Futures Data; 3. Annualized Parameters of the Extraction Cost Process (OLS on quarterly Data for the Period 1999-Q1 to 2009-Q1; V. Learning the Size of Reserves.
- VI. ApplicationVII. Results; 4. Model for Proven Reserves (Standard Errors in Parentheses; 5. Oil Production Capacity; 6. Added Value by Expanded Capacity; 7. Added Value by Expanded Capacity and Increased Access to Reserve; VIII. Limitations of the Model; IX. Determinants of Production Policies during the 2008-2009 Crisis; 8. Determinants of Cuts in Production During the Crisis of 2008-2009; X. Concluding Remarks and the World Supply of Oil; References; Figures; 1. Standard Deviation of Change in Reserves; 2. Optimal Extration-Brazil and U.A.E; 3. Sensitivity to Key Parameters.
- 4. Sensitivity to Key Parameters5. Determinants of the Cut in Oil Production During the Crisis of 2008-2009; 6. World Oil Market.