Real options in the LNG shipping industry
摘要
The prime focus of this dissertation is to bring forward and explain well founded and intuitive\nmethods for valuing real options in the LNG transportation industry, and by that convince\nindustry participants that such flexibility has a considerable value. The dissertation applies\nacademic theory on realistic cases, and represents a good source of information for\nparticipants in the industry seeking to implement such tools in their business management.\nThe applied valuation methodology is a risk adjusted version of the well-known Black and\nScholes model fitted to each specific case. The composition, coherence and application of this\nframework are thoroughly explained, and the options tentative structure and value basis are\nvisualised in figures.\nThe option values obtained are sound and are accompanied by sensitivity analyses offering\ninsight into the fundamental value drivers. The sensitivity analyses are also vital for testing\nthe validity of the models and for remedying possible erroneous assumptions.\nOwing to a lack of historical data material from the LNG industry, an extensive collection and\nprocessing of data was call for. This rendered not only information on essential parameters for\noption valuations, but also unique time series important for further studies.\nInteresting is also how the risk adjustment affects the relationship between certain parameters\nand the option value. Risk adjusted drift rates were developed to remedy certain risk elements\nin the underlying asset, and these rates proved in some cases to be negative. This was so\nbecause they were partly based on historical new building prices which have experienced a\nreal decline the last seventeen years. The negativity of these rates led to some adverse\nrelationships compared to what is to be expected based on options theory, especially when\ntime was a decisive factor.