2008 年 1 巻 p. 69-95
This paper is intended to treat the reserve risks and tracking problems in oil & gas E&P projects in order to help business practitioners to apply real options approach to actual E&P projects. I will firstly verify the effect of the reserve risks, by introducing a stochastic model for the recoverable volume of the oil and gas reserves in the producing fields. Then, I will introduce “Futures Term Structure Asset Valuation Model” to value the underlying asset of the project. The empirical results clearly indicate that the reserve risks can give significant impacts on the valuation of the rights to explore and exploit the oil and gas fields.