Advanced topics in information resources management
Valuing information technology infrastructures: a growth options approach
Information Technology and Management
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
Optimal Sequential Exploration: A Binary Learning Model
Decision Analysis
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
Data Mining and Knowledge Discovery
Going Bunkers: The Joint Route Selection and Refueling Problem
Manufacturing & Service Operations Management
Optimal Commodity Trading with a Capacitated Storage Asset
Management Science
Valuing Multifactor Real Options Using an Implied Binomial Tree
Decision Analysis
On the Pricing of Natural Gas Pipeline Capacity
Manufacturing & Service Operations Management
Valuation of Storage at a Liquefied Natural Gas Terminal
Operations Research
Securitization and Real Investment in Incomplete Markets
Management Science
Manufacturing & Service Operations Management
A simulation based real options approach for the investment evaluation of nuclear power
Computers and Industrial Engineering
Using Priced Options to Solve the Exposure Problem in Sequential Auctions
ACM Transactions on Internet Technology (TOIT)
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Many firms in the oil and gas business have long used decision analysis techniques to evaluate exploration and development opportunities and have looked at recent development in option pricing theory as potentially offering improvements over the decision analysis approach. Unfortunately, it is difficult to discern the benefits of the options approach from the literature on the topic: Most of the published examples greatly oversimplify the kinds of projects encountered in practice, and comparisons are typically made to traditional discounted cash flow analysis, which, unlike the option pricing and decision analytic approaches, does not explicitly consider the uncertainty in project cash flows. In this paper, we provide a tutorial introduction to option pricing methods, focusing on how they relate to and can be integrated with decision analysis methods, and describe some lessons learned in using these methods to evaluate some real oil and gas investments.