改良SSA法による多段階投資からなる資源開発プロジェクトのリアルオプション分析 Real Option Analysis of Multi-Stage Investment on Resources Development Project by Improved SSA Method

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著者

    • 安達 毅 ADACHI Tsuyoshi
    • 東京大学 生産技術研究所・環境安全研究センター Institute of Industrial Science and Environmental Science Center, The University of Tokyo
    • 茂木 源人 MOGI Gento
    • 東京大学大学院 工学系研究科 技術経営戦略学専攻 Department of Technology Management for Innovation, Graduate School of Engineering, The University of Tokyo

抄録

Resources development projects including the early stage of exploration usually consist of multi-stage investments. Managers of such project have an option to invest or wait to a further stage at appropriate timing in each stage. These options have to be integrated into a comprehensive option as a compound option. In this study, we develop MSSA (Multi-stage SSA) method to evaluate multi-stage compound option by improving ordinary SSA (Stratified State Aggregation) method. MSSA which is one of the numerical computation technique based on Monte Carlo simulation has a flexibility to evaluate various uncertainties on a project.<BR>In a case study, project value of a crude oil development which has price and geological uncertainties has been evaluated by MSSA method. Geological uncertainties are decreased according to progress in the project stages as the result of exploration investment. Consequently, the project value and investment timing distribution considering compound option are calculated. Critical value maps for decision making are also obtained by varied initial crude oil price and expected oil reserves.

収録刊行物

  • Journal of MMIJ : journal of the Mining and Materials Processing Institute of Japan

    Journal of MMIJ : journal of the Mining and Materials Processing Institute of Japan 124(9), 576-582, 2008-09-25

    The Mining and Materials Processing Institute of Japan

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各種コード

  • NII論文ID(NAID)
    10021999114
  • NII書誌ID(NCID)
    AA12188381
  • 本文言語コード
    JPN
  • 資料種別
    ART
  • ISSN
    18816118
  • NDL 記事登録ID
    9664914
  • NDL 雑誌分類
    ZP41(科学技術--金属工学・鉱山工学)
  • NDL 請求記号
    Z17-315
  • データ提供元
    CJP書誌  NDL  J-STAGE 
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