몬테칼로 시뮬레이션을 이용한 기술투자 실물옵션평가에 대한 연구

A Study on Real Option Valuation for Technology Investment Using the Monte Carlo Simulation

Real option valuation considers the managerial flexibility to make ongoing decisions regarding implementation of investment projects and deployment of real assets. The appeal of the framework is natural given the high degree of uncertainty that firms face in their technology investment decisions. This paper suggests an algorithm for estimating volatility of logarithmic cash flow returns of real asset based on Monte Carlo simulation. This research uses a binomial model to obtain point estimate of real option value with embedded expansion option case and provides also an array of numerical results to show the interval estimation of option value using Monte Carlo simulation.