실물옵션 가치평가모형을 이용한 국도건설사업의 경제적 가치 평가 (Economic Evaluation of National Highway Construction Projects using Real Option Pricing Models)

서지정보

· 발행기관 : 한국도로학회
· 수록지 정보 : 한국도로학회논문집 / 16권 / 1호 / 75 ~ 89페이지
· 저자명 : 정성윤, 김지표

초록

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 nationalhighway construction projects. In order to evaluate value of future's underlying asset, we calculated the volatility of the unit price per year forbenefit 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 projectsusing ROPM. And in order to predict the changes in the option value of the future's underlying asset, we evaluated the changes of optionpremium for future's uncertainties by the defer of the start of construction work, the contract of project scale, and the abandon of project duringpre-land compensation stages that were occurred frequently in the highway construction projects. Finally we analyzed the sensitivity of theunderlying 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(-) valuebecause of the sum of the existing static NPV and the option premium for the future's uncertainties associated with flexibilities.

영어초록

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 nationalhighway construction projects. In order to evaluate value of future's underlying asset, we calculated the volatility of the unit price per year forbenefit 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 projectsusing ROPM. And in order to predict the changes in the option value of the future's underlying asset, we evaluated the changes of optionpremium for future's uncertainties by the defer of the start of construction work, the contract of project scale, and the abandon of project duringpre-land compensation stages that were occurred frequently in the highway construction projects. Finally we analyzed the sensitivity of theunderlying 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(-) valuebecause of the sum of the existing static NPV and the option premium for the future's uncertainties associated with flexibilities.

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