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Estimating the volatility of mining projects considering price and operating cost uncertainties

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  • Costa Lima, Gabriel A.
  • Suslick, Saul B.

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  • Costa Lima, Gabriel A. & Suslick, Saul B., 2006. "Estimating the volatility of mining projects considering price and operating cost uncertainties," Resources Policy, Elsevier, vol. 31(2), pages 86-94, June.
    • Handle: RePEc:eee:jrpoli:v:31:y:2006:i:2:p:86-94
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    1. Davis, Graham A., 1998. "Estimating Volatility and Dividend Yield When Valuing Real Options to Invest or Abandon," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 725-754.
    2. Adelman, M A, 1990. "Mineral Depletion, with Special Reference to Petroleum," The Review of Economics and Statistics, MIT Press, vol. 72(1), pages 1-10, February.
    3. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
    4. Crowson, Phillip, 2003. "Mine size and the structure of costs," Resources Policy, Elsevier, vol. 29(1-2), pages 15-36.
    5. Robert McDonald & Daniel Siegel, 1986. "The Value of Waiting to Invest," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 101(4), pages 707-727.
    6. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    7. Samis, Michael & Davis, Graham A. & Laughton, David & Poulin, Richard, 2005. "Valuing uncertain asset cash flows when there are no options: A real options approach," Resources Policy, Elsevier, vol. 30(4), pages 285-298, December.
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    Cited by:

    1. Guo, Hongquan & Nguyen, Hoang & Vu, Diep-Anh & Bui, Xuan-Nam, 2021. "Forecasting mining capital cost for open-pit mining projects based on artificial neural network approach," Resources Policy, Elsevier, vol. 74(C).
    2. Haque, Md. Aminul & Topal, Erkan & Lilford, Eric, 2014. "A numerical study for a mining project using real options valuation under commodity price uncertainty," Resources Policy, Elsevier, vol. 39(C), pages 115-123.
    3. Pedro Godinho, 2015. "Estimating State-Dependent Volatility of Investment Projects: A Simulation Approach," GEMF Working Papers 2015-02, GEMF, Faculty of Economics, University of Coimbra.
    4. E. Brandão, Luiz & Dyer, James S. & Hahn, Warren J., 2012. "Volatility estimation for stochastic project value models," European Journal of Operational Research, Elsevier, vol. 220(3), pages 642-648.
    5. Carlos Andrés Zapata Quimbayo, 2020. "OPCIONES REALES Una guía teórico-práctica para la valoración de inversiones bajo incertidumbre mediante modelos en tiempo discreto y simulación de Monte Carlo," Books, Universidad Externado de Colombia, Facultad de Finanzas, Gobierno y Relaciones Internacionales, number 138, February.
    6. Sebastian Ernst Volkmann & Felix Lehnen & Peter A. Kukla, 2019. "Estimating the economics of a mining project on seafloor manganese nodules," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 32(3), pages 287-306, November.
    7. Aminrostamkolaee, Behnam & Scroggs, Jeffrey S. & Borghei, Matin Sadat & Safdari-Vaighani, Ali & Mohammadi, Teymour & Hossein Pourkazemi, Mohammad, 2017. "Valuation of a hypothetical mining project under commodity price and exchange rate uncertainties by using numerical methods," Resources Policy, Elsevier, vol. 52(C), pages 296-307.
    8. Liu, Yuanxin & Zheng, Ruijin & Chen, Sisi & Yuan, Jiahai, 2019. "The economy of wind-integrated-energy-storage projects in China's upcoming power market: A real options approach," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
    9. Lei Zhu & ZhongXiang Zhang & Ying Fan, 2011. "An evaluation of overseas oil investment projects under uncertainty using a real options based simulation model," Economics Study Area Working Papers 121, East-West Center, Economics Study Area.
    10. Pedro Godinho, 2015. "Estimating State-Dependent Volatility of Investment Projects: A Simulation Approach," GEMF Working Papers 2015-02, GEMF, Faculty of Economics, University of Coimbra.
    11. Fan, Ying & Zhu, Lei, 2010. "A real options based model and its application to China's overseas oil investment decisions," Energy Economics, Elsevier, vol. 32(3), pages 627-637, May.
    12. Kuangyuan Zhang & Richard Olawoyin & Antonio Nieto & Andrew N. Kleit, 2018. "Risk of commodity price, production cost and time to build in resource economics," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 20(6), pages 2521-2544, December.
    13. Li, Nan & Wang, Song & Zhang, Kai, 2022. "Price options on investment project expansion under commodity price and volatility uncertainties using a novel finite difference method," Applied Mathematics and Computation, Elsevier, vol. 421(C).
    14. Maryke C. Rademeyer & Richard C. A. Minnitt & Rosemary M. S. Falcon, 2020. "A characterisation of the mechanisms transforming capital investment into productive capacity in mining projects with long lead-times," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 33(3), pages 349-357, October.
    15. Savolainen, Jyrki, 2016. "Real options in metal mining project valuation: Review of literature," Resources Policy, Elsevier, vol. 50(C), pages 49-65.
    16. Gruenhagen, Jan Henrik & Cox, Stephen & Parker, Rachel, 2022. "An actor-oriented perspective on innovation systems: Functional analysis of drivers and barriers to innovation and technology adoption in the mining sector," Technology in Society, Elsevier, vol. 68(C).
    17. Parviz Sohrabi & Hesam Dehghani & Behshad Jodeiri Shokri, 2022. "Determination of optimal production rate under price uncertainty—Sari Gunay gold mine, Iran," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 35(2), pages 187-201, June.
    18. Yasrebi, Amir Bijan & Hezarkhani, Ardeshir & Afzal, Peyman, 2017. "Application of Present Value-Volume (PV-V) and NPV-Cumulative Total Ore (NPV-CTO) fractal modelling for mining strategy selection," Resources Policy, Elsevier, vol. 53(C), pages 384-393.
    19. Mohammad Rahman Ardhiansyah & Tsuyoshi Adachi & Junichiro Oda, 2023. "Stratified state aggregation (SSA) approach in real option valuation: combining price and grade uncertainties in tin mining projects," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 36(3), pages 371-381, September.
    20. Gruenhagen, Jan Henrik & Parker, Rachel, 2020. "Factors driving or impeding the diffusion and adoption of innovation in mining: A systematic review of the literature," Resources Policy, Elsevier, vol. 65(C).

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