Advanced topics in information resources management
Financial derivatives and real options: effect of implementation time on real options valuation
Proceedings of the 34th conference on Winter simulation: exploring new frontiers
Using Binomial Decision Trees to Solve Real-Option Valuation Problems
Decision Analysis
The valuation of multidimensional American real options using the LSM simulation method
Computers and Operations Research
Prioritizing a Portfolio of Information Technology Investment Projects
Journal of Management Information Systems
Optimal Sequential Exploration: A Binary Learning Model
Decision Analysis
Going Bunkers: The Joint Route Selection and Refueling Problem
Manufacturing & Service Operations Management
Evaluation of real options in an oil field
MACMESE'10 Proceedings of the 12th WSEAS international conference on Mathematical and computational methods in science and engineering
A simulation based real options approach for the investment evaluation of nuclear power
Computers and Industrial Engineering
International Journal of Business Data Communications and Networking
Risk Aversion, Indivisible Timing Options, and Gambling
Operations Research
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There are two major competing procedures for evaluating risky projects where managerial flexibility plays an important role: one is decision analytic, based on stochastic dynamic programming, and the other is option pricing theory (or contingent claims analysis), based on the no-arbitrage theory of financial markets. In this paper, we show how these two approaches can be profitably integrated to evaluate oil properties. We develop and analyze a model of an oil property-either a developed property or a proven but undeveloped reserve-where production rates and oil prices both vary stochastically over time and, at any time, the decision maker may terminate production or accelerate production by drilling additional wells. The decision maker is assumed to be risk averse and can hedge price risks by trading oil futures contracts. We also describe extensions of this model that incorporate additional uncertainties and options, discuss its use in exploration decisions and in evaluating a portfolio of properties rather than a single property, and briefly describe other potential applications of this integrated methodology.