Preprint B31/2009
Precificação de Reservas de Petróleo Não Desenvolvidas em Blocos da Região do Pré-Sal Brasileiro. Uma Abordagem por Opções Reais
Angelo Barros
Keywords: Real Options | Undeveloped Reserves | Pre-Salt
This dissertation makes use of the modern techniques of investment analysis called Real Options for valuation of brazilian Pre-Salt undeveloped petroleum reserves. Such techniques can capture the flexibilities and uncertainties of the market, overcoming the traditional methods of Discounted Cash Flow (DCF). The reserves studied in this work are extremely complex and have called the attention of many investors (national and foreign ones) about their development process. The enormous petroleum reservoir existent in the Pre-Salt has been the reason of great expectation of the brazilian government, on account of the possibility of elevation of the country in the ranking of the biggest oil and gas reserves in the world. However, the high development cost required makes many question the viability of investing on Pre-Salt, specially in times of crisis in the world financial market. In this dissertation, we use Real Options in order to obtain the value of an undeveloped reserve, based on Paddock & Siegel & Smith model,adapted to a mean-reversionprocess. The objective is to analyse the the viability of investing on brazilian Pre-Salt through the price of concession of the reserves, described by a partial differential equation to be deduced in the dissertation. This equation will be solved by numerical methods implemented by computational algorithms described in this work. The analysis will be done by the type of the reserve, because in brazilian Pre-Salt there exist reserves with different caracteristics (such that size of the salt zone, depth of the well, so on). By the end, we present the results and conclusions obtained. We recall that the results were obtained considering the hypothesis and model chosen, and that such results may vary if we make use of other models.