실물옵션 모델을 이용한 투자가치 평가에 관한 연구: IPTV STB 프로젝트 사례연구

Abstract

The objective of this paper is to apply option methods for the valuation of the project. Comparing to the conventional valuation’s method, option methods are useful for the company which is under the uncertainty of the management environment. So, real options methods are mostly applied for IT companies, ventures which have the high volatility of the returns. Also, real options technique can be used to make the decision for the management as the strategy vehicle. Especially, Binomial Lattice option model provide the strategic decision maps, called the decision tree.This paper includes the case study for the valuation of the investment proposal of IPTV STB. In this research, Black-Sholes model, Black’s approximation model, Binomial Lattice option model were used for the valuation, given to various option conditions like expand options, deferral options. With valuating the project with the real options technique, this research includes the course to compare option methods to the conventional method, DCF. By this course, we can know the option value which DCF is impossible to capture. As the option value means the flexibility of the management, it must be considered. In this paper, different option values were gotten depending to the kind of options or option models. But any real options model can capture the value of options. As business environment is more variable and complex, the real options technique is expected to be more important than the past. Lastly, Monte Carlo simulation is operated for the estimation of the project’s volatility using MATLAB, numerical analysis program.