Uncertain time to completion in a sequential investment problem: A theoretical analysis and an empirical application

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2025-07-19 DOI:10.1016/j.eneco.2025.108693

Micah Lucy Abigaba, Jens Bengtsson, Martijn W. Ketelaars, Peter M. Kort

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Abstract

We develop a real options framework for a sequential oil project in which the oil company has to complete its development stage before it is able to start its production stage. Both the oil price and the duration of the development stage are uncertain. For each stage we determine the associated optimal price threshold that reflects an optimal investment timing. The goal of the article is to study the determination of these two thresholds from both a theoretical and empirical perspective. Because the oil price and the time to completion are uncertain, it is imperative to coordinate the thresholds in such a way that upon completion of the development stage it is sufficiently probable that the oil company can immediately start its production stage. Our numerical analysis is based on Uganda’s oil project in the Albertine Graben region. We show that changes in the characteristics of the oil price have a more pronounced effect on the development price threshold because it depends also on the production price threshold. Interestingly, we observe that it could be optimal for the oil company to start its initial development stage later in case of a shorter expected time to completion. This happens when it expects the oil price to grow relatively quickly.

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时序投资问题的不确定完工时间：理论分析与实证应用

我们为一个连续的石油项目开发了一个实物期权框架，在这个框架中，石油公司必须在能够开始生产阶段之前完成其开发阶段。油价和开发阶段的持续时间都是不确定的。对于每个阶段，我们确定了反映最佳投资时机的相关最优价格阈值。本文的目的是从理论和实证的角度来研究这两个阈值的确定。由于油价和完成时间是不确定的，因此必须协调阈值，以便在完成开发阶段后，石油公司有足够的可能立即开始生产阶段。我们的数值分析是基于乌干达在艾伯丁地堑地区的石油项目。我们表明，油价特征的变化对开发价格阈值的影响更为明显，因为它也取决于生产价格阈值。有趣的是，我们观察到，对于石油公司来说，在预期完成时间较短的情况下，较晚开始其初始开发阶段可能是最优的。当它预计油价将相对较快地上涨时，就会发生这种情况。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.