• 대한수학회보
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• 제60권4호
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• pp.1101-1129
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• 2023

In this study we propose a model of optimal retirement, consumption and portfolio choice of an individual agent, which encompasses a large class of the models in the literature, and provide a methodology to solve the model. Different from the traditional approach, we consider the problems before and after retirement simultaneously and identify the difference in the dual value functions as the utility value of lifetime labor. The utility value has an option nature, namely, it is the maximized value of choosing the retirement time optimally and we discover it by solving a variational inequality. Then, we discover the dual value functions by using the utility value. We discover the value function and optimal policies by establishing a duality between the value function and the dual value function. The model and approach offer a significant advantage for computation of optimal policies for a large class of problems.

• 자원ㆍ환경경제연구
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• 제20권3호
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• pp.459-487
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• 2011

포스트 교토체제에서는 A/R CDM 등 산림 분야의 중요성이 증대할 것으로 전망된다. A/R CDM에 대한 정확한 경제성 평가는 투자의사결정에 유용한 정보를 제공하여 투자 활성화로 이어질 수 있다. 본 연구에서는 전통적 경제성 평가 방법이 간과한 의사결정자의 의사결정권의 가치 내지 기다림의 가치를 반영한 실물옵션 방법에 의해 모형을 구축하고 실제 A/R CDM 사례를 적용하여 실증분석을 하였다. 그 결과 적용 사례의 경우 최적투자분기점이 추정된 l-CER의 가격보다 낮게 나타남으로써 적절한 투자의사결정이 이루어졌음을 알 수 있었다. 그러나 할인율의 수준과 적용 범위에 따라 최적투자분기점과 투자의사결정이 크게 영향을 받는 것으로 나타났다.

• 국제학술발표논문집
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• The 3th International Conference on Construction Engineering and Project Management
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• pp.800-807
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• 2009

The limited public funds available for infrastructure projects have led governments to consider private entities' participation in long-term contracts for finance, construction, and operation of these projects to share risks and rewards between the public and the private. Because these projects have complicated risk evolutions, diverse contractual forms for each project member to hedge risks involved in a project are necessary. In light of this, Build-Operate-Transfer(BOT) model is considered as effective to accomplish Public Private Partnerships(PPPs) with a characteristic of an ownership-reversion. In BOT projects, the government has used such an incentive system as minimum revenue guarantee(MRG) agreement to attract the private's participation. Although this agreement turns out critical in success of BOT project, there still exist problematic issues in a financial feasibility analysis since the traditional capital budgeting theory, Net Present Value(NPV) analysis, has failed to evaluate the contingent characteristic of MRG agreement. The purpose of this research is to develop real option model based on option pricing theory so as to provide a theoretical framework in valuing MRG agreement in BOT projects. To understand the applicability of the model, the model is applied to the example of the BOT toll road project and the results are compared with that by NPV analysis. Finally, we found that the impact of the MRG agreement is significant on the project value. Hence, the real option model can help the government establish better BOT policies and the developer make appropriate bidding strategies.

• 플랜트 저널
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• 제8권3호
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• pp.42-48
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• 2012

전통적 투자안 평가방법인 현금할인법(DCF:discounted cash flow) 모형의 투자안 평가는 경영자가 미래 사업환경의 변화에 능동적 대처를 할 수 없다는 가정이다. 그러나 현실에서는 투자를 수행하는 중에 새로운 정보가 유입되고 불확실성이 클 때 평가 시점에서 예측한 대로 시나리오가 이루어지기 어렵기 때문에 경영의 유연성을 고려하는 실물옵션 방법으로 평가함으로써 이런 난점들을 극복할 수 있다. 실물옵션에는 연기옵션, 단계적 투자옵션, 변경옵션, 포기옵션, 전환옵션 등이 있다. 따라서 사업 변동성이 클 경우 전통적인 DCF보다는 이러한 변동성이 갖는 가치를 적극 이용하여 평가하는 실물옵션 방법이 보다 바람직한 평가방법이라 할 수 있다.

• 대한수학회보
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• 제53권5호
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• pp.1497-1530
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• 2016

External barrier options are two-asset options with stochastic variables where the payoff depends on one underlying asset and the barrier depends on another state variable. The barrier state variable determines whether the option is knocked in or out when the value of the variable is above or below some prescribed barrier level. This paper derives the explicit analytic solution of the chained option with an external single or double barrier by utilizing the probabilistic methods - the reflection principle and the change of measure. Before we do this, we examine the closed-form solution of the external barrier option with a single or double-curved barrier using the methods of image and double Mellin transforms. The exact solution of the external barrier option price enables us to obtain the pricing formula of the chained option with the external barrier more easily.

• 신재생에너지
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• 제10권1호
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• pp.41-49
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• 2014

For a proper valuation of wind power project, it is necessary to consider volatilities of key parameters such as annual energy production, electricity sales price, and long term interest rate. Real option methodology allows to calculate option values of these parameters. Volatilities to be considered in wind project valuation are 1) annual energy production (AEP) estimation due to meteorological variation and estimation errors in wind speed distribution, 2) changes in system marginal price (SMP), and 3) interest rate fluctuation of project financing which provides refinancing option to be exercised during a loan tenor for commercial scale projects. Real option valuation turns out to be more than half of the sales value based on a case study for a FIT scheme wind project that was sold to a financial investor.

• 국제학술발표논문집
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• The 2th International Conference on Construction Engineering and Project Management
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• pp.563-572
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• 2007

Transportation infrastructure is critical to economic growth of a country such as China. Careful evaluation of investments in traffic infrastructure projects is therefore pertinent. As traditional evaluation methods do not consider the uncertainty of future cash flows and mobility during project execution, the real option approach is gradually gaining recognition in the context of valuing construction and infrastructure projects. However, many of the cases only evaluate individual options separately although multiple options often exist in a typical large infrastructure project. Using a highway project in China as a case study, this paper first evaluates a deferment option and a growth option embedded in the project. Subsequently, the values are combined using the fuzzy analytical hierarchy process. It is found that the combined value is less than the sum of the two option values. This finding is consistent with the theoretical observations given in past real option literature despite the use of a different approach.

• 기술혁신학회지
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• 제8권1호
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• pp.29-50
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• 2005

Real options provide a new and productive way to view corporate r&d investment decisions. DCF approach is well established and beloved of financial executives, but is known to systematically underestimate investment value under significant uncertainty. Though real options are not inherent in a r&d investment, they can be used to compute the investment value including managerial flexibility like option value. In this paper, we explain how the interval of option value in black-scholes model can be estimated using simulation. We also present a process framework for interval estimation of volatility and efficient of period of investment value. In such a setting, we can obtain the appropriate interval estimation of the expanded investment value.

• 경영과정보연구
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• 제28권1호
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• pp.71-97
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• 2009

주식보상시스템의 도입으로 기업은 최소의 비용으로 유능한 인재를 확보함으로써 기업의 경쟁력을 강화할 수 있고, 특히 첨단산업과 같은 성장산업에서 고급인력을 양성하고 기술력을 확보함으로써 기업의 대내외적인 경쟁력을 확보할 수 있게 된다. 또한 종업원의 동기를 부여함으로써 임직원의 잠재적인 주주화를 통해 주인의식고취 및 책임경영을 실현 시킨다. 본 연구는 주식보상시스템의 도입에 따른 회계변수평가모형이 기업가치를 평가하는데 유용한지를 검증하였으며 현행 기업회계기준에 의해 작성된 주식매입선택권이기업 지식자산의 형태로 자산화되었을 경우 기업가치 평가를 검증하였다. 연구 결과 회계변수들은 기업가치를 평가하는데 유용한 측정치들이었으나 스톡옵션 부여와 관련된 주식매입선택권의 경우 현행 기업회계기준 방법에 의하였을 경우에는 주식매입선택권과 주식보상비용 모두 유의하지 않은 것으로 나타났다. 추가적으로 자산화 된 주식매입선택권의 경우 유의한 양(+)의 값으로서 기업 가치를 평가하는데 유의한 결과임을 지적하였다. 이는 투자자들이 기업 가치를 평가하는데 있어서 주식매입선택권을 현행 기업회계기준의 방법으로 처리하는 것보다 자산화 시킨 후 스톡옵션의 효익 지속기간 동안 상각하는 것이 기업가치를 평가하는데 더 유용한 방법이라는 점을 가지고 있다는 것을 나타낸다.

• 대한수학회논문집
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• 제28권3호
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• pp.615-633
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• 2013

We use a power series expansion method to get an analytic approximation value for the quanto option price under the Hull and White stochastic volatility model, which turns out to be accurate enough by comparing with the simulation prices using Monte Carlo method.