Oil and Gas Exploration Valuation and the Value of Waiting

The timing flexibility of investments in oil and gas assets can potentially add value. In this article, we examine the value of waiting in exploration projects and propose a real option–based valuation method using least-squares Monte Carlo simulation. We show that the dynamics of the oil and gas prices have a large impact on the value of the option to wait, especially for projects with long lead times and durations. The uncertainty in the forward price curve is modeled using a two-factor stochastic price process. The article also presents the valuation method in the form of MATLAB functions and routines that can be used as an efficient test and analysis platform using the industry-standard input formats.油气资产投资的时机灵活性具备潜在增值空间。本文针对勘探项目中的等待价值展开研究，并提出一种基于最小二乘蒙特卡洛模拟的实物期权（real option）估值方法。研究表明，油气价格的动态变化对等待期权的价值具有显著影响，尤其对于建设周期与运营周期较长的项目而言。远期价格曲线的不确定性可通过双因子随机价格过程进行建模。本文还以MATLAB函数与程序脚本的形式呈现了该估值方法，可基于行业标准输入格式搭建高效的测试与分析平台。