2014 博士论文 Evaluation of Oil Sands Projects and Their Expansion Rate Using Real Options 161 页

Graduate Department of Chemical Engineering and Applied Chemistry
University of Toronto

List of Tables
1.1 Three models studied in this thesis and the objectives of each model. . . 7
2.1 Alberta's greenhouse gas emissions 1990-2009 (Bramley et al. (2011)). . . 24
3.1 Analogy between a call option on a stock and a real option on a project
adapted from (Trigeorgis, 1996). . . . . . . . . . . . . . . . . . . . . . . . 38
3.2 Common real options, source: Trigeorgis (1996) . . . . . . . . . . . . . . 46
4.1 Mean reversion parameters of oil prices and environmental costs . . . . . 74
5.1 The growth pattern in a recombining trinomial tree . . . . . . . . . . . . 85
5.2 Branching probabilities of the bivariate trinomial tree with zero correlation
between two state variables . . . . . . . . . . . . . . . . . . . . . . . . . 86
5.3 Branching probabilities of the bivariate trinomial tree with a correlation
of  = =36 between two state variables . . . . . . . . . . . . . . . . . . . 87
5.4 Mean reversion parameters of oil and natural gas prices. . . . . . . . . . 91
6.1 Labour cost for N+1 possible cases. . . . . . . . . . . . . . . . . . . . . . 103
6.2 Estimated mean reversion parameters for the oil and natural gas price
models. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112
C.1 Assumptions of the case study. . . . . . . . . . . . . . . . . . . . . . . . . 138