Analysis and evaluation of input-output flexibilities in oil industry plant projects: applying the theory of real options and stochastic simulation
Autor(a) principal: | |
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Data de Publicação: | 2009 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | GEPROS. Gestão da Produção. Operações e Sistemas |
Texto Completo: | https://revista.feb.unesp.br/gepros/article/view/747 |
Resumo: | Investments in the oil and petrochemical industries are frequently medium/long term, rich in real options (managerial and/ or operational flexibilities), with a high degree of irreversibility, and under conditions of economic and technical uncertainty. In this context, the traditional method of discounted cash flow, is very limited to deal with uncertainties and flexibilities, and frequently leads to the wrong decision. This article uses more modern techniques for economic analysis, with a real scientific approach, by modeling economic uncertainty as a stochastic process, and using stochastic simulation technics that consider the project’s managerial degrees of freedom. The modern theory of investment, under uncertainty, also named real options theory, separates the value of investment opportunity from the decision rule, so the latter maximizes the former. The present work aims at analyzing a GTL (Gas-To-Liquid) project plant using real options theory. GTL technology makes it possible to transform solids, biomass, liquids and gases into high quality liquids, such as naphtha, diesel, paraffins and high quality lubricants. In this study the real option theory is adjusted to evaluate the project’s capacity to change its input and/or output, choosing the option that maximizes payoff, in accordance with each scenario. Investments take place in an atmosphere of uncertainty, where prices (uncertainty factors) are stochastic and will follow the mean reversion stochastic process, calculated by the Monte Carlo Simulation. Keywords: Investment Project Analysis, Real Option Theory, Monte Carlo Simulation, Numerical Methods, Stochastic Processes |
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Analysis and evaluation of input-output flexibilities in oil industry plant projects: applying the theory of real options and stochastic simulationAnálise e avaliação de flexibilidades input-output em projetos de plantas na industria do petróleo: uma aplicação da teoria das opções reais e da simulação estocásticaInvestments in the oil and petrochemical industries are frequently medium/long term, rich in real options (managerial and/ or operational flexibilities), with a high degree of irreversibility, and under conditions of economic and technical uncertainty. In this context, the traditional method of discounted cash flow, is very limited to deal with uncertainties and flexibilities, and frequently leads to the wrong decision. This article uses more modern techniques for economic analysis, with a real scientific approach, by modeling economic uncertainty as a stochastic process, and using stochastic simulation technics that consider the project’s managerial degrees of freedom. The modern theory of investment, under uncertainty, also named real options theory, separates the value of investment opportunity from the decision rule, so the latter maximizes the former. The present work aims at analyzing a GTL (Gas-To-Liquid) project plant using real options theory. GTL technology makes it possible to transform solids, biomass, liquids and gases into high quality liquids, such as naphtha, diesel, paraffins and high quality lubricants. In this study the real option theory is adjusted to evaluate the project’s capacity to change its input and/or output, choosing the option that maximizes payoff, in accordance with each scenario. Investments take place in an atmosphere of uncertainty, where prices (uncertainty factors) are stochastic and will follow the mean reversion stochastic process, calculated by the Monte Carlo Simulation. Keywords: Investment Project Analysis, Real Option Theory, Monte Carlo Simulation, Numerical Methods, Stochastic ProcessesOs investimentos na indústria petrolífera e petroquímica são frequentemente de médio/longo prazo, ricos em opções reais (flexibilidades gerenciais ou operacionais), com alto grau de irreversibilidade e sujeitos a condições de incerteza técnica e econômica. Nesse contexto, o método tradicional de fluxo de caixa descontado é muito limitado, para tratar de incertezas e de flexibilidades e, frequentemente, leva a decisões equivocadas. O presente trabalho usa técnicas mais modernas de análise econômica, com uma abordagem realmente científica, modelando a incerteza econômica como um processo estocástico e usando técnicas de simulação estocástica que consideram os graus de liberdade gerencial de um projeto. A moderna teoria de investimentos, sob incerteza, também conhecida por Teoria das Opções Reais (TOR), separa o valor da oportunidade de investimento da regra de decisão, de forma que esta maximize o valor daquela. O presente trabalho tem como objetivo analisar um projeto de planta na indústria de petróleo, com tecnologia GTL (Gas-to-liquid), usando a Teoria das Opções Reais. A tecnologia GTL possibilita a conversão de sólidos, biomassas, líquidos e gases em derivados, tais como a nafta, diesel, parafinas e lubrificantes de alta qualidade. Neste estudo, a TOR é ajustada para avaliar a capacidade do projeto poder mudar seus inputs e/ou outputs, selecionando a alternativa que maximize o retorno, de acordo com cada cenário. O investimento ocorre em um ambiente de incerteza, onde os preços (fatores de incerteza) são considerados estocásticos e seguem um processo de reversão à média e a análise é estimada por simulação de Monte Carlo. Palavras-chave: Análise de projetos de investimento; Teoria das opções reais; Simulação de Monte Carlo; Métodos numéricos; Processos estocásticos.A Fundacao para o Desenvolvimento de Bauru (FunDeB)2009-04-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://revista.feb.unesp.br/gepros/article/view/74710.15675/gepros.v2i2.747Revista Gestão da Produção Operações e Sistemas; n. 2 (2009); 631984-2430reponame:GEPROS. Gestão da Produção. Operações e Sistemasinstname:Universidade Estadual Paulista (UNESP)instacron:UNESPporhttps://revista.feb.unesp.br/gepros/article/view/747/227Patrício Samanez, CarlosA. Costa, Letíciainfo:eu-repo/semantics/openAccess2011-02-14T15:13:51Zoai:ojs.gepros.emnuvens.com.br:article/747Revistahttps://revista.feb.unesp.br/geprosPUBhttps://revista.feb.unesp.br/gepros/oaigepros@feb.unesp.br||abjabbour@feb.unesp.br1984-24301809-614Xopendoar:2011-02-14T15:13:51GEPROS. Gestão da Produção. Operações e Sistemas - Universidade Estadual Paulista (UNESP)false |
dc.title.none.fl_str_mv |
Analysis and evaluation of input-output flexibilities in oil industry plant projects: applying the theory of real options and stochastic simulation Análise e avaliação de flexibilidades input-output em projetos de plantas na industria do petróleo: uma aplicação da teoria das opções reais e da simulação estocástica |
title |
Analysis and evaluation of input-output flexibilities in oil industry plant projects: applying the theory of real options and stochastic simulation |
spellingShingle |
Analysis and evaluation of input-output flexibilities in oil industry plant projects: applying the theory of real options and stochastic simulation Patrício Samanez, Carlos |
title_short |
Analysis and evaluation of input-output flexibilities in oil industry plant projects: applying the theory of real options and stochastic simulation |
title_full |
Analysis and evaluation of input-output flexibilities in oil industry plant projects: applying the theory of real options and stochastic simulation |
title_fullStr |
Analysis and evaluation of input-output flexibilities in oil industry plant projects: applying the theory of real options and stochastic simulation |
title_full_unstemmed |
Analysis and evaluation of input-output flexibilities in oil industry plant projects: applying the theory of real options and stochastic simulation |
title_sort |
Analysis and evaluation of input-output flexibilities in oil industry plant projects: applying the theory of real options and stochastic simulation |
author |
Patrício Samanez, Carlos |
author_facet |
Patrício Samanez, Carlos A. Costa, Letícia |
author_role |
author |
author2 |
A. Costa, Letícia |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Patrício Samanez, Carlos A. Costa, Letícia |
description |
Investments in the oil and petrochemical industries are frequently medium/long term, rich in real options (managerial and/ or operational flexibilities), with a high degree of irreversibility, and under conditions of economic and technical uncertainty. In this context, the traditional method of discounted cash flow, is very limited to deal with uncertainties and flexibilities, and frequently leads to the wrong decision. This article uses more modern techniques for economic analysis, with a real scientific approach, by modeling economic uncertainty as a stochastic process, and using stochastic simulation technics that consider the project’s managerial degrees of freedom. The modern theory of investment, under uncertainty, also named real options theory, separates the value of investment opportunity from the decision rule, so the latter maximizes the former. The present work aims at analyzing a GTL (Gas-To-Liquid) project plant using real options theory. GTL technology makes it possible to transform solids, biomass, liquids and gases into high quality liquids, such as naphtha, diesel, paraffins and high quality lubricants. In this study the real option theory is adjusted to evaluate the project’s capacity to change its input and/or output, choosing the option that maximizes payoff, in accordance with each scenario. Investments take place in an atmosphere of uncertainty, where prices (uncertainty factors) are stochastic and will follow the mean reversion stochastic process, calculated by the Monte Carlo Simulation. Keywords: Investment Project Analysis, Real Option Theory, Monte Carlo Simulation, Numerical Methods, Stochastic Processes |
publishDate |
2009 |
dc.date.none.fl_str_mv |
2009-04-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://revista.feb.unesp.br/gepros/article/view/747 10.15675/gepros.v2i2.747 |
url |
https://revista.feb.unesp.br/gepros/article/view/747 |
identifier_str_mv |
10.15675/gepros.v2i2.747 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://revista.feb.unesp.br/gepros/article/view/747/227 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
A Fundacao para o Desenvolvimento de Bauru (FunDeB) |
publisher.none.fl_str_mv |
A Fundacao para o Desenvolvimento de Bauru (FunDeB) |
dc.source.none.fl_str_mv |
Revista Gestão da Produção Operações e Sistemas; n. 2 (2009); 63 1984-2430 reponame:GEPROS. Gestão da Produção. Operações e Sistemas instname:Universidade Estadual Paulista (UNESP) instacron:UNESP |
instname_str |
Universidade Estadual Paulista (UNESP) |
instacron_str |
UNESP |
institution |
UNESP |
reponame_str |
GEPROS. Gestão da Produção. Operações e Sistemas |
collection |
GEPROS. Gestão da Produção. Operações e Sistemas |
repository.name.fl_str_mv |
GEPROS. Gestão da Produção. Operações e Sistemas - Universidade Estadual Paulista (UNESP) |
repository.mail.fl_str_mv |
gepros@feb.unesp.br||abjabbour@feb.unesp.br |
_version_ |
1800215695859908608 |