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