기술경영경제학회:학술대회논문집 (Proceedings of the Technology Innovation Conference)
- 기술경영경제학회 2004년도 제24회 동계학술대회 논문집
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- Pages.222-245
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- 2004
실물옵션 적용을 위한 산업별 기초자산 확률과정추정
Identification of the Movement of Underlying Asset in Real Option Analysis: Studies on Industrial Parametric Table
- Lee, Jeong-Dong (Techno-Economics and Policy Program in Seoul National University) ;
- Gang, A-Ri (Techno-Economics and policy Program in Seoul National University) ;
- Jeong, Jong-Uk (Techno-Economics and policy Program in Seoul National University)
- 발행 : 2004.02.13
초록
This paper has an intention of proposing useful parametric tables of each industry group within Korea. These parametric tables can be insightful criteria for those who are dealing with the exact valuation of company, technology or industry through Real Option Analysis (ROA) since the identification of the movement of underlying asset is the very first step to be done. To give the exact estimations of parameters and the most preferred model in each industry group, we cover topics on ROA, stochastic process, and parametric estimation method like Generalized Method of Moments (GMM) and Maximum Likelihood Estimation (MLE). Additionally, specific industry groups, such as, Internet service group and mobile telecommunication service group defined independently in this paper are also examined in terms of its property of movement with the suggesting of the most fitting stochastic model.