본문 바로가기
KERD
논문KCI 등재

IT 투자평가를 위한 실물옵션 기법: 향상된 LSM시뮬레이션의 적용

Real Options for Valuing IT Investments: Application of an Improved LSM Method

박범조
한국국제경제학회 (The Korea International Economic Association)|2006.08|국제경제연구 (KUKJE KYUNGJE YONGU)|제12권 제2호|pp. 37-69

0

조회

0

다운로드

4

인용

0

참고문헌

키워드

실물옵션IT 투자가치 평가투자 위험성고차 적률 오차향상된 최소제곱 몬테칼로(ILSM) 시뮬레이션경제학 문헌분류기호: G30사례연구에 대한 토론을 통해 논문이 향상될 수 있도록 도와주신 정현철 교수한국재무학회Valuation of IT Investment ProjectReal OptionsHigh Order Moments ErrorsImproved LSM Simulation Method JEL Classification Number: G30O32攀*School of EconomicsDankook University攀攀-
주제분류경제학

초록

Abstract

It is well-known that for IT project evaluation, traditional discounted cash flow methods are generally inadequate because they tend to underestimate the value of the IT investment projects, having high uncertainty of future cash flows and a high upside potential. Thus, a real options method has been an important subject of much research, and has become more realistic with multi-factors or compound American options. This means that a simulation method should be considered to compute the price of the American options. This paper, however, finds that as option maturity is longer, it has a more serious bias in estimating the price of the American options due to errors in high order moments of probability distribution of data generated from simulated discrete paths. To resolve the bias problem, this paper develops a new method (ILSM) based on least squares Monte Carlo simulation method, and applies the ILSM simulation method to the case of electronic banking network expansion. The empirical study shows that the ILSM simulation method may be superior to the Black’s approximation and LSM simulation methods in real application.

참고문헌 (38)

  1. Amram, M, "Real options: Managing Strategic Investment in an Uncertain World" (2000), Boston, MA, Harvard Business School Press
  2. Barone-Adesi, G, "Efficient Analytic Approximation of American Option Values", Journal of Finance, 42, pp.301~320 (1987)
  3. Benaroch, M, "Managing Information Technology Investment Risk: A Real Options Perspective", Journal of Management Information Systems, 19(2), pp.43~84 (2002)
  4. Benaroch, M, "A Case for Using Real Options Pricing Analysis to Evaluate Information Technology Project Investments", Information Systems Research, 10(1), pp.70~86 (1999)
  5. Benaroch, M, "Justifying Electronic Banking Network Expansion Using Real Options Analysis", MIS Quarterly, 24(2), pp.197~225 (2000)
  6. Black, F, "The Pricing of Options and Corporate Liabilities", Journal of Political Economy, 81, pp.637~659 (1973)
  7. Boer, F. P, "Valuation of Technology Using Real Options", Research Technology Management, 43(4), pp.26~30 (2000)
  8. Boyle, P, "Options: A Monte Carlo Approach", Journal of Financial Economics, 4, pp.323~338 (1979)
  9. Brennan, M. J, "The Valuation of American Put Options", Journal of Finance, 32, pp.449~462 (1977)
  10. Brennan, M. J, "Evaluating Natural Resource Investment", Journal of Business, 58(2), pp.135~157 (1985)
  11. Broadie, M, "Pricing American-style Securities Using Simulation", Journal of Economic Dynamics and Control, 21, pp.1323~1352 (1997)
  12. Broadie, M, "Enhanced Monte Carlo estimates for American Option Prices", Journal of Derivatives, 5, pp.25~44 (1997)
  13. Copland, T, "Real Options: A Practitioner’S Guide" (2001), Texere
  14. Cox, J, "Option Pricing: A Simplified Approach", Journal of Financial Economics, 7, pp.229~264 (1979)
  15. Figlewski, S, "The aDaptive Mesh Model: A New Approach to Efficient Option Pricing", Journal of Financial and Quantitative Analysis, 53, pp.313~351 (1999)
  16. Gamba, A, "Real Options Valuation: A Monte Carlo Approach(Working Paper)" (2003), University of Calgary
  17. Gamba, A, "A Log-transformed Binomial Lattice Extension for Multi-Dimensional Option Problems", presented at the 5th Annual Conference on Real Options (2001), Anderson School of Management, UCLA, Los-Angeles
  18. Grenadier, S. R, "Investment in Technology Innovations: An Option Pricing Approach", Journal of Financial Economics, 44, pp.397~416 (1997)
  19. Heath, D, "Bond Pricing and the Term Structure of Interest Rates", Econometrica, 60, pp.77~106 (1992)
  20. Hull, J. C., "The Use of Control Variate Technique in Option Pricing", Journal of Financial and Quantitative Analysis, 23, pp.237~251 (1988)
  21. Hull, J. C, "Valuing Derivative Securities Using the Explicit Finite Difference Method", Journal of Financial and Quantitative Analysis, 25, pp.87~100 (1990)
  22. Ingersoll Jr., J, "Waiting to Invest: Investment and Uncertainty", Journal of Business, 65(1), pp.1~29 (1992)
  23. Longstaff, F. A, "Valuing American Options by Simulations: A Simple Least Squares Approach", Review of Financial Studies, 13, pp.113~147 (2001)
  24. Luehrman, T. A, "Investment Opportunities as Real Options: Getting Started on the Numbers", Harvard Business Review, pp.51~67 (1998)
  25. Martzoukos, S, "General Multi-stage Capital Investment Problems with Multiple Uncertainties", Working paper (1999), University of Cyprus
  26. McGrath, R. G, "A Real Options Logic for Initiating Technology Positioning Investments", Academy of Management Review, 22(4), pp.974~996 (1997)
  27. Merton, R. C, "Option Pricing when Underlying Stock Returns are Discontinuous", Journal of Financial Economics, 3, pp.125~144 (1976)
  28. Miller, L, "Using an Options Approach to Evaluate Korean Information Technology Infrastructure", The Engineering Economist, 49, pp.199~219 (2004)
  29. Monreno, M, "On the Robustness of Least-Squares Monte Carlo(LSM) for Pricing American Derivatives", Review of Derivatives Research, 6, pp.107~128 (2003)
  30. Mun, J, "Real Options Analysis" (2002), John Wiley & Sons
  31. Panayi, S, "Muti-stage Real Options: The Cases of Information Technology Infrastructure and International Bank Expansion", The Quarterly Review of Economics and Finance,Special Issue, 38, pp.675~692 (1998)
  32. Pindyck, R, "Investment of Uncertain Cost", Journal of Financial Economics, 34, pp.53~76 (1993)
  33. Raymar, S, "A Monte Carlo Valuation Of American Call Options on the Maximum of Several Stocks", Journal of Derivatives, pp.7~23 (1997)
  34. Schwartz, E, "Valuation of Information Technology Investments as Real Options", UCLA working paper (2000)
  35. Sullivan, K. J, "Software Design as an Investment Activity: A Real Options Perspective(Real Options and Business Strategy: Applications to Decision Making)", pp.215~261 (1999), London, England: Risk Books
  36. Taudes, A, "Option Analysis of Software Platform Decision: A Case Study", MIS Quarterly, 24(2), pp.227~243 (2000)
  37. Tian, T, "Accuracy issues of Monte-Carlo methods for valuing American options", ANZIAM J., 44, pp.739~758 (2003)
  38. Trigeorgis, L, "Real Options" (1996), Cambridge, MIT Press

관련 논문AI추천

몬테카를로 시뮬레이션 방법을 이용한 옵션가격 수렴성에 관한 실증연구강태훈한국국제회계학회 · 국제회계연구2006 · 제15호정보보호투자와 실물옵션임종인, 조동욱한국정보처리학회 · 정보처리학회논문지. 컴퓨터 및 통신시스템2012 · 제1권 제3호이항옵션모형을 이용한 부동산 개발가치 평가에 관한 연구박홍일, 조주현한국부동산분석학회 · 부동산학연구2004 · 제10권 제1호기술도입이 기업가치에 미치는 영향정진호기술경영경제학회 · 기술혁신연구2004 · 제12권 제1호퍼지실물옵션을 이용한 RFID 투자가치평가이승석, 이영찬한국지식경영학회 · 지식경영연구2008 · 제9권 제4호Elaboration of Real Options Model and the Adequacy of Volatility박현우, 성태응아시아기술혁신학회 · Asian Journal of Innovation and Policy2017 · 제6권 제2호

이 간행물의 다른 논문 (6건)

고용주와 근로자의 연계 패널 데이터에 근거한 실질임금의 경기변동성에 대한 새로운 증거: 암묵적 계약이론에 대한 재해석신동균pp. 1-35주요 교역상대국간 한국 산업의 동태적 비교우위 측정: 한국 산업의 유형별 산업내 무역지수와 무역특화지수 분석 연계를 중심으로황윤진pp. 71-98국가간 소득 지위상 이동성의 변화: ＂빈익빈-부익부＂ 현상이 가속화되고 있는가?이철인pp. 99-127부천 제조업 일자리 창출 및 소멸의 선진국 비교 분석과 정책시사점정인수pp. 129-162자영업에 관한 유인가설과 구축가설에 대한 검증: 월간 단기패널을 이용한 실즐분석조준모, 김기승pp. 163-189
원문 보기