Irreversibilidade dos investimentos e valor da opção de encerrar a extração de petróleo

Abstract

The aim of this paper is to simulate the impact of the option to exit on the decision to invest in the development of oil and gas fields, thus shedding some light on the debate about the importance of managerial flexibilities for an investment project. We adopt the Real Options approach, which is very powerful to evaluate investment opportunities when expenditures are irreversible. Our model includes cumulative costs (the so called Jevons’ Effect), which are typical in the oil industry, and assumes that both price and operational cost follow a Geometric Brownian Motion. Two main conclusions emerge: a) the value of flexibility strongly reduces the effect of irreversibility on the decision to invest; and b) the option to leave the industry makes investment much less sensitive to changes in several parameters, including interest rates and depletion rates. Our results support the conclusion that a good way to raise investments in the development of oil fields is to allow producers to freely respond to unexpected economic changes.