| dc.contributor.author | PRATIKTO, FRANSISCUS | |
| dc.contributor.author | INDRATNO, SAPTO | |
| dc.contributor.author | SURYADI, KADARSAH | |
| dc.contributor.author | SANTOSO, DJOKO | |
| dc.date.accessioned | 2021-06-02T03:37:42Z | |
| dc.date.available | 2021-06-02T03:37:42Z | |
| dc.date.issued | 2020 | |
| dc.identifier.uri | http://repository.umy.ac.id/handle/123456789/36396 | |
| dc.description | In this research, we develop a model to estimate the value of a declining oilfield under stochastic oil prices and nonconstant interest rates. Using the Schwartz-Smith model, oil prices are decomposed into two stochastic elements, the
long-term dynamics which follow the arithmetic Brownian motion, and the short-term variation which follows the
Ornstein-Uhlenbeck process that reverts to zero. The term structure of interest rates is represented using cubic spline
interpolation. Considering the option to abandon before lease expiration, the contingent claim valuation method is
employed to determine the oilfield value. Monte Carlo simulation is used to obtain the solution to the multistage
valuation problem. Using the fixed sample size procedure, the simulation came up with the probability distribution of
oilfield value, with a mean of US$13,341,969 and a 95% conditional value-at-risk of US$9,393,704. The mean of the
remaining economic life of the field is 10.4 years. | en_US |
| dc.description.abstract | In this research, we develop a model to estimate the value of a declining oilfield under stochastic oil prices and nonconstant interest rates. Using the Schwartz-Smith model, oil prices are decomposed into two stochastic elements, the
long-term dynamics which follow the arithmetic Brownian motion, and the short-term variation which follows the
Ornstein-Uhlenbeck process that reverts to zero. The term structure of interest rates is represented using cubic spline
interpolation. Considering the option to abandon before lease expiration, the contingent claim valuation method is
employed to determine the oilfield value. Monte Carlo simulation is used to obtain the solution to the multistage
valuation problem. Using the fixed sample size procedure, the simulation came up with the probability distribution of
oilfield value, with a mean of US$13,341,969 and a 95% conditional value-at-risk of US$9,393,704. The mean of the
remaining economic life of the field is 10.4 years. | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | UMY | en_US |
| dc.subject | SCHWARTZ-SMITH | en_US |
| dc.subject | CUBIC-SPLINE | en_US |
| dc.subject | OPTION TO ABANDON | en_US |
| dc.title | VALUATION OF A DECLINING OILFIELD UNDER STOCHASTIC OIL PRICES AND NON-CONSTANT INTEREST RATES | en_US |
| dc.type | Article | en_US |
