Método Fuzzy Payoff modificado para valoração de opções reais com aplicação em abandono de campos de petróleo

Abstract

The decision whether or not to abandon an oil-producing field is complex. The uncertainty inherent to the estimates used as premises makes that only the passage of time points out whether the decision made was correct. However, companies need to make this decision continuously, based on the information and techniques available at the time of evaluation. The valuation of a petroleum field considering the abandonment real option is a modern way of supporting such a decision. Unlike traditional techniques, such as discounted cash flow, which only consider average values in valuation, the analysis of real options contemplates the possible values that the estimated variables can assume. The Fuzzy Payoff Method (FPOM) is a technique that simplifies complex traditional solutions for valuation of real options, since it is based on scenarios and fuzzy logic. During this work, an inconsistency was identified in the original FPOM: in some cases, it results in a value of the project with real options smaller than the value of the same project without real option. In order to overcome this issue, the Center of Gravity Fuzzy Payoff Method (CoG-FPOM) was developed and presented, which has been shown to be consistent for any problem and type of fuzzy number. Hence, the model intended to support the oilfield abandonment decision proposed here has the CoG-FPOM in its core. The results obtained with the application of the model show the expected conceptual advantage and the value added by the analysis of real options in the abandonment decision. By using scenarios and fuzzy logic, the model achieves simplicity and ease of implementation, allowing the industry's interest.