Method of valuation of geological asset or information relating thereto in the presence of uncertainties

Patent metadata

Field	Value
Publication number	US-10430872-B2
Application number	US-201313784666-A
Country	US
Kind code	B2
Filing date	Mar 4, 2013
Priority date	May 10, 2012
Publication date	Oct 1, 2019
Grant date	Oct 1, 2019

Abstract

Methods are disclosed for assigning a value to a geological asset or information relating thereto in the presence of private and public sources of uncertainties. The private and public uncertainties associated with a geological asset or information associated therewith are defined, and private uncertainties are assigned a subjective probability representing the best state of knowledge currently available. A multi-dimensional valuation-time lattice is constructed using the subjective probabilities for the private uncertainties and using risk-neutral probabilities for the public uncertainties. A backward recursion through the multi-dimensional lattice is performed in order to generate a present value for the asset given the present information available. During the backward recursion, a tally of delta hedging coefficients is generated and stored in order to provide an operational “map” or “decision pathway” should the project move forward.

First claim

What is claimed is:

1. A method for exploiting a hydrocarbon reservoir in the presence of private and public sources of uncertainties, the method comprising:
a) performing a measurement on the hydrocarbon reservoir to obtain data associated with a physical property of the hydrocarbon reservoir, wherein the measurement is made using at least one of (i) well logging, (ii) a seismic survey, and (iii) an electromagnetic survey;
b) defining a public uncertainty associated with the hydrocarbon reservoir and a private uncertainty associated with the hydrocarbon reservoir, wherein the private uncertainty comprises uncertainty associated with the physical property of the hydrocarbon reservoir;
c) constructing a multi-dimensional lattice incorporating the private uncertainty and the public uncertainty, the lattice having a plurality of time-based nodes;
d) assigning risk neutral probabilities to each public uncertainty;
e) assigning subjective probabilities to each private uncertainty;
f) performing a backward recursion through the multi-dimensional lattice including keeping a tally of delta hedging coefficients at each time-based node resulting from the risk neutral probabilities and the subjective probabilities to obtain a value for the hydrocarbon reservoir, wherein each time-based node represents a potential operation to be performed on the hydrocarbon reservoir;
g) developing an operational map for exploiting the hydrocarbon reservoir using the delta hedging coefficients and the value of the hydrocarbon reservoir; and
h) exploiting the hydrocarbon reservoir by implementing the operational map, wherein exploiting the hydrocarbon reservoir comprises at least one of (i) drilling a well within a formation that contains the hydrocarbon reservoir, (ii) producing hydrocarbons from the hydrocarbon reservoir, and (iii) performing a measurement on the hydrocarbon reservoir to obtain data associated with a physical property of the hydrocarbon reservoir;
wherein processes b) through g) are each performed by a processor.

2. A method according to claim 1 , wherein the delta hedging coefficients are computed at the nodes of the lattice using the delta-hedge equation

(
Δ
)

t
-
1

=

(

NPV
U

)

t

-

(

NPV
D

)

t

(

S
U

)

t

-

(

S
D

)

t

where t is a time index, NPV U is an up net present value, NPV D is a down-state net present value, S U is an up price of a quantity associated with the hydrocarbon reservoir, and S D is a down price of the quantity.

3. A method according to claim 2 , wherein the quantity is a quantity of hydrocarbon, and the public uncertainty comprises the financial instrument associated with the future price of hydrocarbon and the risk neutral probabilities.

4. A method according to claim 3 , wherein the private uncertainty includes an initial hydrocarbon fraction, f init and a decline rate, β.

5. A method according to claim 1 , wherein the subjective probabilities are assigned using an average over the private uncertainties.

6. A method according to claim 1 , wherein the subjective probabilities are assigned using probability maps.

7. A method according to claim 1 , further comprising conducting a forward simulation through the multi-dimensional lattice utilizing the delta hedging coefficients to validate the value for the hydrocarbon reservoir.

8. A method according to claim 1 , further comprising:
identifying an option associated with the hydrocarbon reservoir and associating the option with the multi-dimensional lattice;
performing backward recursion through the multi-dimensional lattice with the associated option including keeping a tally of any of the option exercised in order to obtain the value for the hydrocarbon reservoir with the option;
obtaining a value for the option by subtracting the value for the hydrocarbon reservoir from the value for the hydrocarbon reservoir with the option.

9. A method according to claim 1 , wherein the uncertainty associated with the physical property of the hydrocarbon reservoir comprises at least one of (i) uncertainty associated with a permeability of the hydrocarbon reservoir, (ii) uncertainty associated with a rock type of the hydrocarbon reservoir, (iii) uncertainty associated with a reserve size of the hydrocarbon reservoir, and (iv) uncertainty associated with quality of hydrocarbons within the hydrocarbon reservoir.

10. A method according to claim 1 , wherein the private uncertainty comprises uncertainty associated with a cost of producing hydrocarbons from the hydrocarbon reservoir.

11. A method for performing an operation on a geological asset in the presence of private and public sources of uncertainties, the method comprising:
a) performing a measurement on the geological asset to obtain data associated with a physical property of the geological asset, wherein the measurement is made using at least one of (i) well logging, (ii) a seismic survey, and (iii) an electromagnetic survey;
b) defining a public uncertainty associated with the geological asset and a private uncertainty associated with the geological asset, wherein the private uncertainty comprises uncertainty associated with the physical property of the geological asset;
c) constructing a multi-dimensional lattice incorporating the private uncertainty and the public uncertainty, the lattice having a plurality of time-based nodes;
d) assigning risk neutral probabilities to each public uncertainty;
e) assigning subjective probabilities to each private uncertainty;
f) performing a backward recursion through the multi-dimensional lattice including keeping a tally of delta hedging coefficients at each time-based node resulting from the risk neutral probabilities and subjective probabilities in order to obtain a value for the geological asset;
g) identifying a potential operation to be performed on the geological asset;
h) revising the subjective probabilities pertaining to the private uncertainty based on the potential operation to be performed on the geological asset;
i) constructing a new multi-dimensional lattice incorporating the revised subjective probabilities;
j) performing a backward recursion through the new multi-dimensional lattice including keeping a tally of delta hedging coefficients at each time-based node

Assignees

• Schlumberger Technology Corp

Inventors

• Wilkinson David J
• Chugunov Nikita
• Bailey William J
• Couet Benoit
• Ramakrishnan Terizhandur S

Classifications

• G06Q10/06

  Resources, workflows, human or project management; Enterprise or organisation planning; Enterprise or organisation modelling · CPC title

• G06Q40/00 Primary

  Finance; Insurance; Tax strategies; Processing of corporate or income taxes · CPC title