IE interfaces (산업공학)

Korean Institute of Industrial Engineers (대한산업공학회)
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The Multi-Period Opportunity Cost Model to Evaluate an Option Value based on a Deferral Option

연기옵션을 고려한 옵션가치의 일반적 기회비용 모델

  • Kim, Gyu-Tai (Department of Industrial Engineering, Chosun University)
  • 김규태 (조선대학교 산업공학과)
  • Received : 2004.10.26
  • Accepted : 2005.04.26
  • Published : 2005.06.30
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Abstract

In recent research there has been intense interest in understanding how real option valuation (ROV) approaches might usefully complement conventional discounted cash flow (DCF) techniques. However, investment decision makers in a real world have been worried about adopting the ROV approaches mainly because of difficulty in technically understanding the theory of the ROV approaches as indicated by many researchers. With this difficulty in mind, we propose the opportunity cost model as another discrete-time model to value a deferral option. The main advantage of observing a real options value in terms of the opportunity cost concept is to provide a technique for practitioners to estimate a wide range of real options values without sticking to a financial option modelling. The fundamental ground for developing the opportunity cost model proposed in this paper lies in the work of dissecting the structure of the real options value into three categories: capital gain, expected opportunity loss, and expected opportunity gain. At the end of the paper, we will present a short illustrative example to demonstrate the applicability of the model.

Keywords

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