Aleksandrov, Nikolay; Espinoza, Raphael; Gyurkó, Lajos - In: Journal of Economic Dynamics and Control 37 (2013) 7, pp. 1248-1263
We study the optimal oil extraction strategy and the value of an oil field using a multiple real option approach. The numerical method is flexible enough to solve a model with several state variables, to discuss the effect of risk aversion, and to take into account uncertainty in the size of...
