Real options analysis of petrochemicals industry investment projects/Analise de projetos de investimento no setor petroquimico atraves da teoria de opcoes reais/Analisis de proyectos de inversiones en el sector petroquimico a traves de la teoria de opciones reales

• Published in: Interciencia Vol. 39; no. 2; p. 85
• Main Authors: Costa, Leticia De Almeida, Samanez, Carlos Patricio
• Format: Journal Article
• Language: Spanish
• Published: Interciencia Association 01.02.2014
• ISSN: 0378-1844

Investments in the petrochemical industry generally present medium/long term maturities, managerial or operational flexibilities (real options), with high level of irreversibility and subject to conditions of technical and economic uncertainty. This paper uses real options in economic analysis, modeling economic uncertainty as a stochastic process and using stochastic simulation techniques that consider the levels of managerial freedom in an oil industry project. The paper aims to analyze a project in the oil industry with XTL technology (Feed-to-liquid) using the Real Options Theory (ROT). XTL technology is divided into two steps: a gasification process followed by a process GTL (Gas-to-liquid). The Gasification enables the conversion of solids, biomass, liquids and gases into synthesis gas, which is used as input of the GLT. The GTL enables the transformation of synthesis gas into high quality byproducts such as naphtha, diesel, paraffin and lubricants. In this study, ROT is adjusted to assess the capability of the project to change its inputs and/or outputs, selecting the alternative that maximizes economic return according to each scenario. The investment occurs in an uncertainty environment where prices (uncertainty factors) are regarded as stochastic and follow either a mean reversion motion or a mean reversion motion with jumps. The analysis is performed with Monte Carlo simulation.