An Real Option Application on the Feasibility Study of an Indonesian CBM Project

doi:10.12972/ksmer.2014.51.5.631

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2014 Vol.51, Issue 5 Next Page

Research Paper

An Real Option Application on the Feasibility Study of an Indonesian CBM Project 실물옵션을 적용한 인도네시아 CBM 사업의 경제성 평가: 윤영 · 오서연 · 김진수
Young Yoon, Seoyun Oh, Jinsoo Kim

31 October 2014. pp. 631-640

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Abstract

Coalbed Mathane(CBM), which is the one of promising unconventional resources, is relatively free from the mal-distribution problem and has low technological requirements. Because of those reasons, Korean oil and gas companies have high interests for the CBM developments. Unlike the other natural gas development, a CBM project needs a lot of drilling activities and has a long development phase. Naturally, a CBM project has additional operational risks than the other oil and gas projects. Therefore, we introduced a real option model in the feasibility study of a CBM project to consider those risks. A deferring option and abandoning option were applied for the CBM project in Kalimantan, Indonesia. As results, we could quantify the value of each option and the value of abandoning option in development stage was bigger than that in production stage.

Keywords

CBM

Real options

Risk

Feasibility study

Indonesia

비전통자원 중 하나인 석탄층 메탄가스(Coalbed Methane, CBM)는 기존 전통자원에 비해 상대적으로 지역적 편중이 적고 개발기술 확보가 가시권에 있어 국내 기업들의 참여가 보다 용이 할 것으로 예상된다. 그런데 CBM 사업은 기존의 가스전과는 다르게 시추공의 개수가 매우 많으며 생산 중에도 계속 개발 및 시추 작업이 이루어져 상대적으로 전 사업 과정에 걸쳐 불확실성이 높은 특징을 가지고 있다. 따라서 본 연구에서는 이러한 불확실성을 보다 유연하게 반영할 수 있도록 CBM 사업의 경제성 평가에 실물옵션 모형을 적용하였다. 실증분석을 위하여 인도네시아 칼리만탄 지역의 CBM 프로젝트 사례를 바탕으로 연기옵션과 포기옵션을 구성하였으며, 분석 결과 사업의 연기에 따른 옵션가치를 정량화 할 수 있었고 생산 전 보다 개발 전에 포기옵션을 행사하는 것이 더 높은 가치를 지니는 것으로 나타났다.

키워드

CBM

실물옵션

불확실성

경제성 평가

인도네시아

References

Cox, J.C., Ross, S.A. and Rubinstein, M., 1979, “Option pricing : a simplified approach,” Journal of Financial Economics, Vol. 7, No. 3, pp. 229-263.
Cho, J.H. and Park, H.I., 2004. “Valuation of Real Estate Development Project by using Binomial Option Pricing Model,” Journal of the Korea Real Estate Analysts Association, Vol. 10, pp. 37-60.
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Hwang, D.G. and Lee, K.H., 2007, “The Valuation of Port Development using Real Options Analysis,” Journal of Korean Association of Shipping and Logistics, Vol. 55, pp. 43-68.
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Kim, H.M., 2008, Valuing the new & renewable energy R&D with Real Option, Master degree thesis, Kyung Hee University, Seoul.
KOPIA, 2008, The Feasibility Study for Coalbed Methane In Central Kalimantan, Indonesia, Korea Plant Industries Association, Seoul.
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Margaret, E.S., 2001, “Valuing Managerial Flexibility : An Application of Real-Option Theory to Mining Investments,” Journal of Environmental Economics and Management, Vol. 41, No. 2, pp. 193-233.
PWC, 2012, Oil and Gas in Indonesia investment and Taxation Guide, PWC Indonesia, Indonesia.
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Trigeorgis, L., 1996, Real Options : Managerial Flexibility and Strategy in Resource Allocation, The MIT Press, Cambridge, mass, United States of America.
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Yoo, C.S., Kim, J.N. and Heo, E., 2011 “A Real Option Valuation Model for Resources Exploration Projects,” Journal of the Korean Society of Mineral and Energy Resources Engineers, Vol. 48, No. 3, pp. 255-267.

Information

Publisher :The Korean Society of Mineral and Energy Resources Engineers
Publisher(Ko) :한국자원공학회
Journal Title :Journal of the Korean Society of Mineral and Energy Resources Engineers
Journal Title(Ko) :한국자원공학회지
Volume : 51
No :5
Pages :631-640
DOI :https://doi.org/10.12972/ksmer.2014.51.5.631

[1] Cox, J.C., Ross, S.A. and Rubinstein, M., 1979, “Option pricing : a simplified approach,” Journal of Financial Economics, Vol. 7, No. 3, pp. 229-263.

[2] Cho, J.H. and Park, H.I., 2004. “Valuation of Real Estate Development Project by using Binomial Option Pricing Model,” Journal of the Korea Real Estate Analysts Association, Vol. 10, pp. 37-60.

[3] Fan, Y., Mo, J.L. and Zhu, L., 2013, “Evaluation Coalbed Methane Investment in China based on a Real Options Model,” Resources Policy, Vol. 38, No. 1, pp. 50-59.

[4] Hwang, D.G. and Lee, K.H., 2007, “The Valuation of Port Development using Real Options Analysis,” Journal of Korean Association of Shipping and Logistics, Vol. 55, pp. 43-68.

[5] IEA, 2011, World Energy Outlook, International Energy Agency, Paris.

[6] Jang, H.C., Lee, J.H., Shin, C.H., Lee, Y.S., Kwon, S.I. and Lee, W.S., 2012, “A Study on the Developments Status and Key Technologies of Coalbed Methane,” Journal of the Korean Society of Mineral and Energy Resources Engineers, Vol. 49, No. 4, pp. 545-556.

[7] Kim, J.Y. and Kim, Y.K., 2008, “The Valuation of Real Estate Development by the Real Option Model,” Journal of Korea Appraisal Society, Vol. 10, pp. 1-8.

[8] Kim, H.M., 2008, Valuing the new & renewable energy R&D with Real Option, Master degree thesis, Kyung Hee University, Seoul.

[9] KOPIA, 2008, The Feasibility Study for Coalbed Methane In Central Kalimantan, Indonesia, Korea Plant Industries Association, Seoul.

[10] Lee, I.S. and Heo, E., 2004, “An Option Pricing Model for the Natural Resource Development Projects,” Journal of Korea Resource Economics Association, Vol. 13, No. 4, pp. 735-763.

[11] Margaret, E.S., 2001, “Valuing Managerial Flexibility : An Application of Real-Option Theory to Mining Investments,” Journal of Environmental Economics and Management, Vol. 41, No. 2, pp. 193-233.

[12] PWC, 2012, Oil and Gas in Indonesia investment and Taxation Guide, PWC Indonesia, Indonesia.

[13] Ryu, J.C., 2012, Unconventional Resources of Technology Advances and E&P Business prospect, Korea Energy Economics Institute, Uiwang.

[14] Trigeorgis, L., 1996, Real Options : Managerial Flexibility and Strategy in Resource Allocation, The MIT Press, Cambridge, mass, United States of America.

[15] Yun, W.C., 2001, Valuation of an Energy Project using Real Option Pricing Method, Korea Energy Economics Institute, Uiwang.

[16] Yoo, C.S., Kim, J.N. and Heo, E., 2011 “A Real Option Valuation Model for Resources Exploration Projects,” Journal of the Korean Society of Mineral and Energy Resources Engineers, Vol. 48, No. 3, pp. 255-267.

Journal of the Korean Society of Mineral and Energy Resources Engineers ISSN:2288-0291(Print) 2288-2790(Online) 한국자원공학회지

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