Decision impact of stochastic price models in the petroleum industry

dc.contributor.advisorBickel, J. Ericen
dc.contributor.committeeMemberDyer, James S.en
dc.contributor.committeeMemberSmith, James E.en
dc.creatorHammond, Robert Kincaiden
dc.date.accessioned2011-10-05T19:26:51Zen
dc.date.available2011-10-05T19:26:51Zen
dc.date.issued2011-08en
dc.date.submittedAugust 2011en
dc.date.updated2011-10-05T19:27:00Zen
dc.descriptiontexten
dc.description.abstractStochastic price models have proven material to decision making in the oil industry when accurate valuations are important, but little consideration is given to their impact on decisions based on relative project rankings. Traditional industry economic analysis methods do not usually consider uncertainty in oil price, although the real options literature has shown that this practice underestimates the value of projects that have flexibility. Monetary budget constraints are not always the limiting constraints in decision making; there may be other constraints that limit the number of projects a company can undertake. We consider building a portfolio of upstream petroleum development projects to determine the relevance of stochastic price models to a decision for which accurate valuations may not be important. The results provide guidelines to determine when a stochastic price model should be used in economic analysis of petroleum projects.en
dc.description.departmentOperations Research and Industrial Engineeringen
dc.format.mimetypeapplication/pdfen
dc.identifier.slug2152/ETD-UT-2011-08-3893en
dc.identifier.urihttp://hdl.handle.net/2152/ETD-UT-2011-08-3893en
dc.language.isoengen
dc.subjectStochastic price modelen
dc.subjectDecision analysisen
dc.subjectReal optionsen
dc.subjectValuationen
dc.titleDecision impact of stochastic price models in the petroleum industryen
dc.type.genrethesisen
thesis.degree.departmentOperations Research and Industrial Engineeringen
thesis.degree.disciplineOperations Research and Industrial Engineeringen
thesis.degree.grantorUniversity of Texas at Austinen
thesis.degree.levelMastersen
thesis.degree.nameMaster of Science in Engineeringen

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