• 한국경영과학회:학술대회논문집
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• 한국경영과학회/대한산업공학회 2003년도 춘계공동학술대회
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• pp.620-627
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• 2003

The real option pricing theory has emerged as the new investment decision-making techniques superceding the traditional discounted cash flow techniques and thus has greatly received muck attention from academics and practitioners in these days the theory has been widely applied to a variety of corporate strategic projects such as a new drug R&D, an internet start-up. an advanced manufacturing system. and so on A lot of people who are interested in the real option pricing theory complain that it is difficult to understand the true meaning of the real option value. though. One of the most conspicuous reasons for the complaint may be due to the fact that there exit many different ways to calculate the real options value in this paper, we will present a replicating portfolio method. a risk-neutral probability method. a risk-adjusted discount rate method (quasi capital asset pricing method). and an opportunity cost concept-based method under the conditions of a binomial lattice option pricing theory.

• 한국기술혁신학회:학술대회논문집
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• 한국기술혁신학회 2002년도 춘계학술대회
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• pp.181-198
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• 2002

This article describes a methodology for evaluating huge aerospace R&D investments using the real options pricing method. Option pricing has been proposed as a useful approach for modeling investment in R&D. Two important features of R&D investments are that an R&D project takes time to complete and that the outcome of R&D investments is highly uncertain. This makes the analysis of R&D investments difficult. Traditional tools for project evaluation, like IRR or the NPV, are inadequate for coping with the high uncertainty. Hence, In this article I propose a log-transformed binomal lattice method, and it will show that option pricing might be an adequate framework for evaluating such types of aerospace investments.

• 기술혁신학회지
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• 제3권1호
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• pp.37-54
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• 2000

본 글에서는 최근 기술가치평가에 적용되고 있는 조건부가치평가법(Contingent Valuation Method) 다속성효용평가법(Multi-attribute Utility Assessment) 그리고 조건부청구권가치평가법(Real Option Pricing Method)의 세가지 가치측정기법들의 특징과 조요 관련 문헌들을 간략하게 정리하여 소개함으로서 관심있는 연구자들에게 유용한 정보를 제공하고자 한다. 소개하는 방법론들은 환경재화의 가치측정기법과 위험도가 높은 에너지프로젝트의 가치평가기법으로 개발된 기법들로서 신기술이 가지는 특징인 외부성 등의 비시장재적 특성과 높은 위험도에따른 투자가치를 반영할 수있어 기술 및 기업의 가치평가 사례연구에 응용할 수있다.

• 한국철도학회논문집
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• 제10권2호
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• pp.137-145
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• 2007

In traditional financial theory, the discount cash flow model(DCF or NPV) operates as the basic framework for most analyses. In doing valuation analysis, the conventional view is that the net present value(NPV) of a project is the measure of the present value of expected net cash flows. Thus, investing in a positive(negative) NPV project will increase(decrease) firm value. Recently, this framework has come under some fire for failing to consider the options of the managerial flexibilities. Real option valuation(ROV) considers the managerial flexibility to make ongoing decisions regarding the implementation of investment projects and the 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 assets based on the Black-Sholes option pricing model, the binomial option pricing model, and the Monte Carlo simulation. This paper uses those models to obtain point estimates of real option value with the G7- HSR350X(high-speed train).

• 한국도로학회논문집
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• 제16권1호
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• pp.75-89
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• 2014

PURPOSES : This study evaluates the economic value of national highway construction projects using Real Option Pricing Models. METHODS : We identified the option premium for uncertainties associated with flexibilities according to the future's change in national highway construction projects. In order to evaluate value of future's underlying asset, we calculated the volatility of the unit price per year for benefit estimation such as VOTS, VOCS, VICS, VOPCS and VONCS that the "Transportation Facility Investment Evaluation Guidelines" presented. RESULTS : We evaluated the option premium of underlying asset through a case study of the actual national highway construction projects using ROPM. And in order to predict the changes in the option value of the future's underlying asset, we evaluated the changes of option premium for future's uncertainties by the defer of the start of construction work, the contract of project scale, and the abandon of project during pre-land compensation stages that were occurred frequently in the highway construction projects. Finally we analyzed the sensitivity of the underlying asset using volatility, risk free rate and expiration date of option. CONCLUSIONS : We concluded that a highway construction project has economic value even though static NPV had a negative(-) value because of the sum of the existing static NPV and the option premium for the future's uncertainties associated with flexibilities.

• 대한수학회보
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• 제53권5호
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• pp.1411-1425
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• 2016

We provide a partial differential equation for European options on a stock whose price process follows a general geometric Riemannian Brownian motion. The existence and the uniqueness of solutions to the partial differential equation are investigated, and then an expression of the value for European options is obtained using the fundamental solution technique. Proper Riemannian metrics on the real number field can make the distribution of return rates of the stock induced by our model have the character of leptokurtosis and fat-tail; in addition, they can also explain option pricing bias and implied volatility smile (skew).

• 한국수학교육학회지시리즈B:순수및응용수학
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• 제22권3호
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• pp.299-313
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• 2015

In this paper, we show the effectiveness of copulas by comparing the correlation of market data of year 2010 with those of years 2006-2009 and investigate copula functions as pricing methods of digital and rainbow options through real market data. We propose an accurate method of pricing rainbow options by using the correlation coefficients obtained from the copula functions depending on strike prices between assetes instead of simple traditional correlation coefficients.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제4권2호
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• pp.77-84
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• 2000

Black-Scholes equation arising from option pricing in the presence of cost in trading the underlying asset is derived. The transaction cost is chosen precisely and generalized to reflect the trade in the real world. Furthermore the concept of the bandwidth is introduced to obtain the better rehedging. The model with bandwidth derived in this paper can be used to calculate the more accurate option price numerically even if it is nonlinear and more complicated than the models shown before.

• Journal of the Korean Data and Information Science Society
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• 제28권2호
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• pp.251-260
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• 2017

Black와 Scholes (1973)와 Merton (1973)의 옵션 가격결정이론에 대한 논문이 발표 된 이후 다양한 실증 분석 결과에 의하여 시간의 흐름에 따라 변동성이 불변한다고 가정하는 Black-Scholes 모형이 시장의 옵션 가격을 적절히 설명하지 못하고 있다는 것이 밝혀지면서 많은 대안적인 연구들이 진행되어 왔다. 예를 들어, Duan (1995)은 위험중립측도 하에서의 몬테카를로 시뮬레이션을 통해 GARCH 모형을 따르는 기초 자산의 옵션가격을 도출하는 방법을 제시하였다. 그러나 실제 주식이나 환율 등의 금융자료에 수익률분포는 정규분포에 비해 꼬리가 두껍고, 급첨의 형태를 보이는 데 Duan (1995)의 옵션가격 결정 방법은 이를 적절히 반영하지 못하고 있다. 이를 해결하기 위해 본 논문에서는 정규혼합모형의 오차를 갖는 GARCH 모형을 이용한 옵션가격 결정 방법을 제안하고자 한다. KOSPI200 옵션가격 자료를 이용하여 본 논문에서 제시된 옵션가격과 정규분포를 가정한 GARCH 모형에 의해 결정된 옵션가격과 비교한 결과, 금융 자료의 급첨의 성질이 뚜렷한 불안정한 시기인 경우에 오차가 정규혼합모형이라고 가정한 GARCH 모형에 의한 옵션가격 결정의 성과가 월등히 좋아지는 것을 확인할 수 있었다.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제7권2호
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• pp.13-22
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• 2003

Simulations on the nonlinear partial differential equation derived from Black-Scholes equation with transaction costs are performed. These numerical experiments using finite element methods are applied to KOSPI200 in 2002 and the option prices obtained with transaction costs are closer to the real prices in market than the prices used in Korea Stock Exchange.