Research report

COG-FPOM: adapted fuzzy pay-off method for real options valuation : application in the abandonment decision of petroleum producing fields

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    01.07.2017

16

English This paper presents the COG-FPOM, a model based on the Fuzzy Pay-Off Method (FPOM). The FPOM is a scenario-based real option valuation method that uses fuzzy numbers as possibility distributions. The paper shows an unexpected result generated by the original FPOM, in which the real option would have a negative value. It further analyses its reasons and suggests a way to overcome it, by using the center of gravity (COG) instead of the possibilistic mean to summarize a fuzzy number. The overall work is an ongoing project that aims to apply the presented model to support the abandonment decision of petroleum producing fields – an initial attempt together with its preliminary outcomes are shown here. Although not concluded, the COG-FPOM and its pilot results indicate a good potential for the sequence of the project.
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Faculty
Faculté des sciences
Language
  • English
Classification
Computer science
Series statement
  • Internal working papers DIUF ; 17-01
License
License undefined
Identifiers
  • RERO DOC 305042
  • RERO R008690963
Persistent URL
https://folia.unifr.ch/unifr/documents/305904
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