Journal of Korea Technology Innovation Society (기술혁신학회지)
- Volume 8 Issue 1
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- Pages.29-50
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- 2005
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- 1598-2912(pISSN)
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- 2713-8666(eISSN)
A Study on Interval Estimation of Technology R&D Investment Value using Black-Scholes Model
블랙-숄즈모형을 이용한 기술 R&D 투자가치 구간추정 연구
Abstract
Real options provide a new and productive way to view corporate r&d investment decisions. DCF approach is well established and beloved of financial executives, but is known to systematically underestimate investment value under significant uncertainty. Though real options are not inherent in a r&d investment, they can be used to compute the investment value including managerial flexibility like option value. In this paper, we explain how the interval of option value in black-scholes model can be estimated using simulation. We also present a process framework for interval estimation of volatility and efficient of period of investment value. In such a setting, we can obtain the appropriate interval estimation of the expanded investment value.