DOI QR코드

DOI QR Code

Valuation of New Growth Businesses by Compound Option Model: Comparison of Solar Cell, Automotive Battery, and Bio-Pharmaceutical

국가 신성장사업의 컴파운드 옵션에 의한 가치평가: 태양전지, 자동차용 전지, 바이오제약의 비교

  • Kwon, Oh-Sang (Graduate School of Innovation and Technology Management, Korea Advanced Institute of Science and Technology)
  • 권오상 (한국과학기술원 기술경영전문대학원)
  • Received : 2011.05.23
  • Accepted : 2011.07.07
  • Published : 2011.07.31

Abstract

While there is ample information on the investment plans about Korea's selected new growth businesses, it is hard to find any analysis on the valuation of the projects. In this paper, I intend to do a valuation for the three particular technologies, which are solar cell, automotive battery, and bio-pharmaceutical, based on compound option model so that the valuation can capture not only the expected net cash flow but also the value originated from the flexibility of the decision maker. In addition, the real option pricing theory is reviewed and its practical limitations are thoroughly investigated.

국가 신성장사업의 투자계획은 알려져 있으나 그 수익성에 대한 분석 및 예측은 찾기 어렵다. 본 고에서는 불확실성이 큰 신기술사업의 가치평가시 사업주체의 의사결정의 유연성에 기인하는 가치를 감안할 수 있는 컴파운드 옵션 모델에 의해 그 가치평가를 수행하고자 한다. 10개의 후보사업군 중 태양전지, 자동차용 전지, 그리고 바이오제약을 그 대상으로 하여 비교 연구를 수행한다. 또한, 실물옵션 가치평가 이론을 검토하고 그 적용의 한계에 대해서도 서술하였다.

Keywords

References

  1. National IT Industry Promotion Agency, "Review and Prospect for Major Markets for New Growth Businesses", 2010.
  2. L. Trigeorgis, "Real Options", The MIT Press, 2000.
  3. T. Copeland and V. Antikarov, "Real Options", Texere, 2001.
  4. H. Yamamoto, "Technology Management and MOT", JMA Management Center, 2003.
  5. B-J. Park, "Real Option and Valuation under Uncertainty", Sigma Press, 2009.
  6. F. Black and M. Scholes, "The Pricing of Options and Corporate Liabilities", Journal of Political Economy, 81(3), pp. 637-54, 1973. https://doi.org/10.1086/260062
  7. S.N. Neftci, "An Introduction to the Mathematics of Financial Derivatives", Academic Press, 2000.
  8. D. MacKenzie, "An Engine, Not a Camera: How Financial Models Shape Markets", The MIT Press, 2008.
  9. M. J. Brennan and E. S. Schwartz, "Evaluating Natural Resource Investments", Journal of Business, 58(2), pp. 135-58, 1985. https://doi.org/10.1086/296288
  10. E. S. Schwartz and M. Moon, "Rational Pricing of Internet Companies", Financial Analysts Journal, 56(3), pp. 63-75, 2000. https://doi.org/10.2469/faj.v56.n5.2391
  11. E. S. Schwartz and C. Zozaya-Gorostiza, "Investment Under Uncertainty in Information Technology: Acquisition and Development Projects", Management Science, 49(1), pp. 57-70, 2003. https://doi.org/10.1287/mnsc.49.1.57.12753
  12. D. Kellogg and J. M. Charnes, "Real-Options Valuation for a Biotechnology Company", Financial Analysts Journal, 56(3), pp. 76-84, 2000. https://doi.org/10.2469/faj.v56.n3.2362
  13. L. Quigg, "Empirical Testing of Real Option-Pricing Models", Journal of Finance, 48(2), pp. 621-40, 1993. https://doi.org/10.2307/2328915
  14. O-H. Sung, "A Study on Real Option Valuation for Technology Investment Using the Monte Carlo Simulation", Journal of Korea Technology Innovation Society, 7(3), pp. 533-54, 2004.
  15. S. Yoo and S-J. Lee, "An Option Pricing-Based Model for Evaluating Privatized Infrastructure Projects", Journal of Korea Academia-Industrial Cooperation Society, 11(4), pp. 1142-48, 2010. https://doi.org/10.5762/KAIS.2010.11.4.1442
  16. M. Perlitz, T. Peske and R. Schrank, "Real Options Valuation: the New Frontier in R&D Project Evaluation?", R&D Management, 29(3), pp. 255-69, 1999. https://doi.org/10.1111/1467-9310.00135
  17. L. Trigeorgis, "The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options", Journal of Financial and Quantitative Analysis, 28(1), pp. 1-20, 1993. https://doi.org/10.2307/2331148
  18. J. Bouchaud and M. Potters, "Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management", Cambridge University Press, 2000.
  19. R. Geske, "The Valuation of Compound Options", Journal of Financial Economics, 7, pp. 63-81, 1979. https://doi.org/10.1016/0304-405X(79)90022-9
  20. A. Kemna, "Case Studies in Real Options", Financial Management, 22(3), pp. 259-70, 1993. https://doi.org/10.2307/3665943
  21. National IT Industry Promotion Agency, "Investment in New Growth Businesses by Major Domestic Conglomerates", 2010.
  22. P. Fernandez, J. Aquirreamalloa, and L. Corres, "Market Risk Premium used in 56 Countries in 2011", IESE Business School, 2011.