• 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.

• 한국전산응용수학회:학술대회논문집
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• 한국전산응용수학회 2003년도 KSCAM 학술발표회 프로그램 및 초록집
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• pp.10-10
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• 2003

Option pricing theory developed by Black and Sholes depends on an arbitrage opportunity argument. An investor can exactly replicate the returns to any option on that stock by continuously adjusting a portfolio consisting of a stock and a riskless bond. The value of the option equal the value of the replicating portfolio. However, transactions costs invalidate the Black-Sholes arbitrage argument for option pricing, since continuous revision implies infinite trading, Discrete revision using Black-Sholes deltas generates errors which are correlated with the market, and do not approach zero with more frequent revision when transactions costs are included. Stochastic calculus serves as a fundamental tool in the mathematical finance. We closely look at the utility maximization theory which is one of the main option valuation methods. We also see that how the stochastic optimal control problems and their solution methods are applied to the theory.

• 응용통계연구
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• 제21권5호
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• pp.755-763
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• 2008

This paper approaches the problem of option pricing in an incomplete market, where the underlying asset price process follows a compound Poisson model. We assume that the price process follows a compound Poisson model under an equivalent martingale measure and it converges weakly to the Black-Scholes model. First, we express the option price as the expectation of the discounted payoff and expand it at the Black-Scholes price to obtain a pricing formula with three unknown parameters. Then we estimate those parameters using the market option data. This method can use the option data on the same stock with different expiration dates and different strike prices.

• 충청수학회지
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• 제33권2호
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• pp.181-195
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• 2020

This paper suggests the price of vulnerable European option under a constant elasticity of variance model by using asymptotic analysis technique and obtains the approximated solution of the option price. Finally, we illustrate an accuracy of the vulnerable option price so that the approximate solution is well-defined.

• 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.

• 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.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제15권1호
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• pp.1-17
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• 2011

A new method for option pricing based on the trinomial tree method is introduced. The new method calculates the local average of option prices around a node at each time, instead of computing prices at each node of the trinomial tree. Local averaging has a smoothing effect to reduce oscillations of the tree method and to speed up the convergence. The option price and the hedging parameters are then obtained by the compact scheme and the Richardson extrapolation. Computational results for the valuation of European and American vanilla and barrier options show superiority of the proposed scheme to several existing tree methods.

• 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).

• 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.

• 재무관리연구
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• 제21권2호
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• pp.211-233
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• 2004

본 연구는 기초자산의 수익률이 정규분포가 아닌 급첨분포(leptokurtic distribution)를 따른다고 가정할 경우 옵션의 가격식을 도출한다. 두 정규분포의 확률밀도함수의 선형 결합으로 첨도가 3이 아닌 급첨분포의 확률밀도함수를 모델링하고 이를 이용하여 Black- Scholes 공식의 확장된 형태인 옵션 가격 공식을 유도한다. 본 논문에서 제시한 급첨분포에 의한 옵션가격모형은 변동성 스마일 성질을 설명할 뿐만 아니라 기존의 실증연구에서 제기된 Black-Scholes 옵션가격의 과대 및 과소평가 현상을 설명한다. 마지막으로 본 가격식의 모델적합성을 검증하기 위하여 KOSOI 200 지수옵션의 시장가격으로부터 내재변동성과 내재첨도를 추정한다.