How to Value Proved but Undeveloped Petroleum Reserves
针对已探明未开发石油储量（PUDs）在成本高于远期曲线时被估值为零的行业惯例，本文指出其忽视了期权价值，并引入一个模型来解决因或有套期保值无法建模而导致的低估问题。
Proved undeveloped reserves (PUDs) are typically assigned a value of zero when the cost to produce them is greater than the prevailing forward curve. The zero valuation occurs despite the option value contained in even the most expensive PUDs. While PUDs are worthless if spot and forward prices forever remain below the cost to produce them, they have positive value if either the spot price or a contracted futures price exceeds the cost at any time. Since the probability that future prices exceed cost is positive, PUDs have positive option value despite the industry practice. Zero valuation occurs primarily because financing is unavailable when hedging is contingent on uncertain future outcomes where probabilities cannot be modeled. The failure of models to recognize contingent hedging is a limitation that leads to chronically undervalued PUDs in marginal and sub-marginal price environments. The literature is silent on contingent hedging where financing is dependent on forward curves that will not exist until some future date. This paper introduces a model that addresses these limitations.