Otimização dinâmica sob condição de incerteza na produção de petróleo

• Ano de defesa: 2001
• Autor(a) principal: Juliana de Moraes Marreco
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Minas Gerais; UFMG
• Palavras-chave em Português: Administração
• Link de acesso: http://hdl.handle.net/1843/BUBD-9BAG6X

The companies main objective is the creation of value, which is closely related to the decision making process. A lot has been studied to help managers to make decisions that best represent this objective. In the field of Finance the target relies on the adaptation and the creation of new models that do work better in an uncertain environment. Modern Finance Theory leads on the knowledge of mathematics and phisics and accepts more complexity in order to obtain more efficiency. The greatest step in the last years was the Real Options Theory. The main idea is that real assets can be valued by an analogy with financial assets. Real Options Theory is a valuable alternative when the Net Present Value fails. It also makes it possible to value flexibility, growth options and abandon options among others that are implicit in investment projects. This thesis studies the option to abandon an offshore oil field. In other words, to answer thequestion: when is it optimal to abandon an offshore oil fied, considering that future oil price is uncertain? It is not just about abandonig the fild when the operating costs become higher than the operating revenues. Its important to remember that uncertain can turn an unprofitable field into a highly profitable one, once there is an increase in oil prices. Oil exploration and production projects demand high investments, that are under technical and economic uncertain and are always full of real options. They are quite common in the literature, which shows their importance and how companies are demanding best models. The result is the boundary curve, above which is optimal to keep operation, and bellow it there is an abandon region. The model presented uses Dynamic Programming together with a non linear programming method (Golden Section Search) to calculate the critical values. The conclusion, in accordance to the theory presented, shows that the model is able to solve the problem proposed.