• 산업공학
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• 제24권4호
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• pp.408-419
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• 2011

R&D is a foundation for new business chance and productivity improvement leading to enormous expense and a long-term multi-step process. During the R&D process, decision-makers are confused due to the various future uncertainties that influence economic and technical success of the R&D projects. For these reasons, several decision-making models for R&D project investment have been suggested; they are based on traditional methods such as Discounted Cash Flow (DCF), Decision Tree Analysis (DTA) and Real Option Analysis (ROA) or some fusion forms of the traditional methods. However, almost of the models have constraints in practical use owing to limits on application, procedural complexity and incomplete reflection of the uncertainties. In this study, to make the constraints minimized, we propose a new model named Real Option Decision Tree Model which is a conceptual combination form of ROA and DTA. With this model, it is possible for the decision-makers to simulate the project value applying the uncertainties onto the decision making nodes.

• 한국산학기술학회논문지
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• 제11권4호
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• pp.1442-1448
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• 2010

민간 주도형 사회간접자본(social overhead capital: SOC) 사업은 프로젝트의 규모와 장기에 걸친 공사의 불확실성 때문에 프로젝트의 경제성 분석을 하는 것은 복잡하다. 일반적으로 사용하고 있는 현금흐름 할인모형(discount cash flow model; DCF)은 미래의 불확실성 변수들을 적절히 반영하지 못한다는 한계점을 가지고 있지만 현실적으로 많이 쓰이고 있는 방식이다. 본 논문은 옵션기반모형에 근거한, BOT-옵션가치평가(BOT-OV)모형을 국내 민간 SOC 사업의 경제성 분석을 위해 적용한다. BOT-OV모형을 적용하는 것이 기존 순현재가치(net present value; NPV)방식을 통하여 프로젝트 가치 평가 할 때보다 더 정밀한 경제적 타당성 평가를 할 수 있다는 것을 확인하여 기존의 NPV 평가방식의 방법을 대체할 수 있는 가능성을 확인하는데 의의가 있다고 할 수 있다.

• 대한수학회지
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• 제41권3호
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• pp.513-533
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• 2004

We present the pricing and hedging method for options with general payoffs in the presence of transaction costs. The convexity of the payoff function-gamma of the options- is an important issue under transaction costs. When the payoff function is convex, Leland-style pricing and hedging method still works. However, if the payoff function is of general form, additional assumptions on the size of transaction costs or of the hedging interval are needed. We do not assume that the payoff is convex as in Leland 〔11〕 and the value of the Leland number is less (bigger) than 1 as in Hoggard et al. 〔10〕, Avellaneda and Paras 〔1〕. We focus on generally recognized asymmetry between the option sellers and buyers. We decompose an option with general payoff into difference of two options each of which has a convex payoff. This method is consistent with a scheme of separating out the seller's and buyer's position of an option. In this paper, we first present a simple linear valuation method of general payoff options, and also propose in the last section more efficient hedging scheme which costs less to hedge options.

• 기술경영경제학회:학술대회논문집
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• 기술경영경제학회 2001년도 제19회 하계학술발표회 논문집
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• pp.117-130
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• 2001

R&D is the core competence of an enterprise. Furthermore, R&D requires huge capital investment and has very risky characteristics. Therefore, to be successful in R&D process, several approaches of engineering economics are used prior to decision-making. Until now, typical approaches of engineering economics such as NPV(net present value) or DCF(Discounted cash flow) have been used. But, they cannot properly capture managerial flexibility to adapt and revise later decisions in response to unexpected market development. In a constantly changing and always uncertain marketplace, managerial operation flexibility and strategic adaptability have become vital in order to successfully capitalize on favorable future investment opportunities and limit losses from adverse market development. For the alternatives of conventional static decision-making approaches, new concept of using real options is introduced. Real option theory is based on financial option's characteristics and checks every revision interval whether situation have changed favorable to decision maker or not. In advantageous situation, the decision maker has only to go on. In contrast, with unfavorable situation, he abandons the investment immediately. In this aspect, real option model is more suitable in very uncertain and dynamic business environment in that it can provide the opportunity to cope with flexibility. This paper suggests efficient and effective R&D investment strategy by using real options model. In addition, this paper compares financial options and real options.

• 산업경영시스템학회지
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• 제45권4호
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• pp.31-41
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• 2022

As the environmental impacts of fossil fuel energy sources increase, the South Korean government has tried to change non-environmental-friendly enery sources to environmental-friendly energy sources in order to mitigate environmental effects, which lead to global warming and air pollution. With both a limited budget and limited time, it is essential to accurately evaluate the economic and environmental effects of renewable energy projects for the efficient and effective operation of renewable energy plants. Although the traditional economic evaluation methods are not ideal for evaluating the economic impacts of renewable energy projects, they can still be used for this purpose. Renewable energy projects involve many risks due to various uncertainties. For this reason, this study utilizes a real option method, the Geske compound model, to evaluate the renewable energy projects on Jeju Island in terms of economic and environmental values. This study has developed an economic evaluation model based on the Geske compound model to investigate the influences of flexibility and uncertainty factors on the evaluation process. This study further conducts a sensitivity analysis to examine how two uncertainty factors (namely, investment cost and wind energy production) influence the economic and environmental value of renewable energy projects.

• 아태비즈니스연구
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• 제12권3호
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• pp.379-396
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• 2021

Purpose - The purpose of this paper is to study the rational payoff from the standpoint of foreign investors and the government when the government issues GDP-linked bonds to foreign investors. Design/methodology/approach - In this paper, the prices of 12 types of GDP-linked bond structures, which are classified according to the calculation cycle of the rate of change of linked GDP, the currency issued, and whether options are embedded, were evaluated. The Fama-French 3-factor model and the GMM-SDF model are used in the asset pricing model, and domestic and overseas investors used different basis assets. Findings - The KRW premium for US investors is estimated to be 43bp on a quarterly basis and 30bp on an annual basis, respectively, meaning that when the government issues bonds in KRW, the interest rate paid to US investors will be reduced by 30bp to 160bp (annually converted). Using the Fama-French 3 factor model, the KRW premium is the risk premium for the US market beta, meaning that if US investors do not intend to invest in US market beta, it is advantageous to receive an additional interest rate by investing in USD-denominated GDP-linked bonds. Korea's GDP- linked bond give US investors diversified investment utility, so they are willing to incorporate Korean GDP-linked bonds even if -150bp of interest is deducted from the structure issued to Korean investors. And as a result of estimating the value of the option through the GDP-linked bond with options that provides a floor for guaranteeing the principal, the value of the option linked to the annual GDP issued in dollars was the lowest. Research implications or Originality - Issuing dollar-denominated GDP-linked bonds linked to annual GDP with the option of guaranteeing the principal by the government is a way to increase investment opportunities for US investors and achieve financial stability of the government.

• 지역연구
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• 제37권1호
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• pp.3-14
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• 2021

코로나19 이후 공공의료시설, 특히 감염병전문병원의 중요성이 높아졌다. 그러나 메르스 사태 이후 정부의 강력한 정책의지에도 불구하고 공공의료시설과 감염병전문병원의 공급은 충분히 이뤄지지 않았다. 여러 가지 이유가 있겠지만 가장 큰 문제로 대두된 것이 바로 사회·경제적 변화와 시대의 흐름을 충분히 반영하지 못한 예비타당성조사이다. 본 연구의 목적은 공공의료시설과 관련된 현행 예비타당성조사제도의 문제점을 도출하고 그 대안을 제시하는 것이다. 본 연구는 그 대안으로 '선택가치'를 제안한다. 선택가치는 불확실한 상황에 대한 지불의 사이므로 감염병에 대비한 공공의료시설의 편익항목으로 반영하는 것이 학술적으로 가능하다. 선택가치는 비시장 재화이므로 조건부가치추정법과 선택모형을 통해 추정가능하다. 본 연구에서는 두 가지 방법론의 장단점과 활용대안을 제시하였다. 일상에서는 그 존재가치가 보이지 않지만 위기 상황에서 나타나는 것이 바로 의료와 보건시스템이다. 따라서 의료·보건분야의 예비타당성평가에서도 보이지 않는 편익을 찾고, 후생변화를 반영할 수 있는 방법론 개발이 지속적으로 이뤄져야 할 것이다. 본 연구가 그 촉매제가 될 것으로 기대한다.

• 대한산업공학회지
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• 제29권2호
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• pp.126-134
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• 2003

Among a variety of models proposed by so far to calculate the real options value when the investment decision about the underlying project may be delayed, the Black-Scholes and the binomial lattice models have been widely used and discussed by academics and practitioners. However these two models do not provide us with intuition into how it is constructed and what it does really mean. In this paper, we will therefore explore its components and practically more intuitive meaning. With the components explored, we developed the mathematical model to calculate the real options value and thus strategic net present value, based on the opportunity cost concept, for which the investment decision about the underlying project is postponed by one year. We will finally present a short illustrative example for readers better understanding on the model proposed in the paper.

• 경영과학
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• 제31권2호
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• pp.71-86
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• 2014

There is a growing need for technology transactions between the technology providers, who develop technologies, and the technology consumers, who purchase and commercialize technologies, to be smooth, when technologies, as intangible assets, are traded as items that can be purchased and sold. In response to these challenges, this study examines new approaches to assessing the fair market value of technologies. Because corporations are the main force behind technology development and commercialization in the existing business environment, applying one valuation method to technology assets is viable; however, as the subjects of technology development and technology commercialization are separate, the need for price negotiations between the subjects of technology transaction has grown. Moreover, as the investigations into and the application of transaction prices have been performed separately by technology providers, technology consumers, and technology assessment financial institutions, the research on technology valuation methods has shown that there are differences in perceived transaction prices between the subjects involved. This research presents a new method, appropriate to technology transactions; unlike existing methods, it grants option values to the technology provider and newly defined key variables to the technology consumer.

• 산업경영시스템학회지
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• 제22권49호
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• pp.43-57
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• 1999

The recent trend is that risk management has more and more its importance. Neverthless, Korea's risk management is not developed. Even most banks does gap, duration in ALM for risk management, development and operation of VaR stressed at BIS have elementary level. In the case of Fallon and Pritsker, Marshall, gamma model is superior to delta model and Monte Carlo Simulation is improved at its result, as sample number is increased. And, nonparametric model is superior to parametric model. In the case of Korea's stock portfolio, VaR of Monte Carlo Simulation and Full Variance Covariance Model is less than that of Diagonal Model. The reason is that VaR of Full Variance Covariance Model is more precise than that of Diagonal Model. By the way, in the case of interest rate, result of monte carlo simulation is less than that of delta-gamma analysis on 95% confidence level. But, result of 99% is reversed. Therefore, result of which method is not dominated. It means two fact at forecast on volatility of stock and interest rate portfolio. First, in Delta-gamma method and Monte Carlo Simulation, assumption of distribution affects Value at Risk. Second, Value at Risk depends on test method. And, if option price is included, test results will have difference between the two. Therefore, If interest rate futures and option market is open, Korea's findings is supposed to like results of other advanced countries. And, every banks try to develop its internal model.