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A real options model for harvesting
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Orientador(es)
Resumo(s)
Harvesting from natural resources, particularly fisheries, has played a central role in supporting human
society, both as a source of food and economic activity. Decisions related to harvesting are influenced not
only by biological and environmental conditions but also by economic incentives. Understanding how to
manage these resources sustainably is essential for balancing short-term gains with long-term viability.
Despite its importance, the fishing industry faces significant challenges. When fishing efforts exceed
ecological limits, fish stocks can collapse due to direct human impact. In contexts where access to fishing grounds is open or poorly regulated, excessive effort can be applied simultaneously by many players,
placing unsustainable pressure on the resource.
To better manage this uncertainty and irreversibility of the investment, the decision to harvest can be
framed as a real option. This approach treats the opportunity to fish as a right, not an obligation, allowing
fishermen to delay harvesting until conditions are favourable.
In this work, we formulate the optimal harvesting policy as a stochastic control problem, leading to
a Hamilton-Jacobi-Bellman (HJB) partial differential equation (PDE). We solve the HJB equation numerically, allowing us to simulate and analyse optimal policies under various scenarios. The results contribute to
a better understanding of sustainable exploitation and highlight the economic value of flexibility in fisheries
management.
Descrição
Palavras-chave
Stochastic Differential Equations Partial Differential Equations Real Options Harvesting Option Hamilton-Jacobi-Bellman Equation Crank-Nicolson Scheme Numerical Methods
Contexto Educativo
Citação
Brazão, João Afonso Lampreia da Costa (2025). “A real options model for harvesting". Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão
Editora
Instituto Superior de Economia e Gestão