Thesis (MBA)--Stellenbosch University, 2005. / ENGLISH ABSTRACT: The oil industry is under pressure to select refinery projects that will provide higher
and more predictable returns. In the past Discounted Cash Flow (DCF) techniques
have been used to choose between refinery project alternatives. One of the
problems with DCF techniques is that they ignore management flexibility when
evaluating projects that contain embedded options. Real Option Valuation (ROV) is
an approach that takes management flexibility into account and places a value on
this flexibility. ROV has been used extensively by the oil industry for the evaluation
of oil and gas reserves. The aim of this study is to determine the extent to which the
use of ROV will improve the decision making process when evaluating a refining
project containing embedded options as well as to determine the most appropriate
option valuation method for refining projects. This was done by evaluating a refining
project using both a probabilistic DCF approach and the various option pricing
models and comparing the results.
It was concluded that ROV will improve the decision making process when evaluating
refining projects containing embedded options. The most appropriate option pricing
method for refining projects was found to be the simulation approach since simulation
is already being used by refineries to perform probabilistic DCF analysis. It is not
recommended that ROV should be blindly applied to all refining projects containing
embedded options. The use of ROV should be limited to larger refining projects for
which probabilistic cash flows have been developed and the extent of the ROV
analysis required should be determined by a careful review of the net present value
(NPV) cumulative probability curves. / AFRIKAANSE OPSOMMING: Die olie industrie is onder druk geplaas om projekte te kies met 'n hoër opbrengs op
kapitaal en 'n opbrengs wat meer voorspelbaar is. In die verlede is slegs die
Verdiskonteerde Kontant Vloei (VKV) metode gebruik om projekte te selekteer vir die
raffinadery. Een van die onderliggende tekortkominge met die gebruik van die VKV
metode is dat verskillende bestuursopsies in terme van alternatiewe met ingeboude
opsies, nie voldoende ondersoek word nie. Reële Opsie Waardasie (ROW) is 'n
metode wat bestuursopsies in ag neem deur 'n waarde te plaas op elke beskikbare
bestuursopsie. ROW het wye toepassings in die olie industrie vir die evaluasie van
gas en olie reserves. Die doel van hierdie studie is om te bepaal tot watter mate die
gebruik van ROW die besluitnemingsproses sal verbeter in terme van die evaluasie
van projekte met ingeboude opsies vir raffinaderye en watter opsiewaardasie metode
die mees geskikte is vir sulke projekte. 'n Raffinadery projek is evalueer deur beide
KV en verskeie opsie-prysbepalingsmetodes te gebruik en die
resultate is vergelyk.
Die resultate van die studie het bewys dat die ROW metode die besluitnemingsproses
verbeter. Die studie het gewys dat die mees geskikte opsie-waardasie
metode vir projekte in the raffinadery die simulasie benadering is omdat simulasie
alreeds vir probalisties VKV ontleding gebruik word. 'n Verdere aanbeveling is dat
die ROW metode nie blindelings gevolg moet word vir alle projekte met ingeboude
opsies nie. Die gebruik van ROW moet beperk word tot groter projekte waarvoor
probabilistiese kontantvloei alreeds ontwikkel is. Die mate van ROW ontleding moet
bepaal word deur 'n noukeurige ondersoek te doen van die kumulatiewe netto
huidige waarde-waarskynlikheidskurwe.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/50245 |
| Date | 12 1900 |
| Creators | Oosthuizen, J. F. (Jan Francois) |
| Contributors | DuP Smith, J., Stellenbosch University. Faculty of Economic & Management Sciences. Graduate School of Business. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | Unknown |
| Type | Thesis |
| Format | 105 p. : ill. |
| Rights | Stellenbosch University |
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