• Journal of the Korean Society for Railway
• /
• v.10 no.2 s.39
• /
• pp.137-145
• /
• 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 information and communication convergence engineering
• /
• v.11 no.3
• /
• pp.190-198
• /
• 2013

Recently, one of the most vital advancement in the field of finance is high-performance trading using field-programmable gate array (FPGA). The objective of this paper is to design high-performance Black Scholes option trading system on an FPGA. We implemented an efficient Black Scholes Call Option System IP on an FPGA. The IP may perform 180 million transactions per second after initial latency of 208 clock cycles. The implementation requires the 64-bit IEEE double-precision floatingpoint adder, multiplier, exponent, logarithm, division, and square root IPs. Our experimental results show that the design is highly efficient in terms of frequency and resource utilization, with the maximum frequency of 179 MHz on Altera Stratix V.

• Korean Business Review
• /
• v.22 no.1
• /
• pp.27-44
• /
• 2009

This paper compares the accounting standards for stock option of Japan and Korea. Especially, tire setting process of accounting standards for stock option, accounting methods and disclosures for stock option in two countries are analyzed. The results provide that two countries shaw different characteristics in accounting standards for stock option. First, in Japan, acquired services are reported as compensation costs and capital adjustments. On the other hand, in Korea, in case of cash-settled share- based payment transactions, acquired services are reported as compensation costs and capital adjustments, but in case of equity-settled share- based payment transactions, acquired services are reported as compensation costs and debt. Second, when tire stock option rights are abandoned, they are reported as extraordinary items in Japan and are reported as other surplus in Korea. Third, though both countries do not choose specific stock option pricing model, Japan prefers Black-Sholes Model and Korea regards binomial model as proper model.

• Korean Journal of Construction Engineering and Management
• /
• v.15 no.1
• /
• pp.111-121
• /
• 2014

The Clean Development Mechanism (CDM) allows New & Renewable Energy projects to make additional income by selling CER's, which represent the amount of Green House Gases(GHG) that is reduced in the project. However, forward contracts used to hedge fluctuating market prices does not allow projects to sell CER's at a premium. As an alternate approach to maximize CER revenue, CER's are modeled as a 'real option', in which CER's are sold only above the desired sales price. Using the Binomial Option Pricing model, the resultant lattices are used to determine whether to sell, defer or abandon the option at individual nodes. Overlaying Pascal's Triangle on the lattices also enabled the calculation of the annual probabilities for deferring CER sales without incurring downside losses. Application to an actual Landfill Gas project showed increased overall NPV, and that CER sales could be deferred at a maximum of 2 years. The proposed framework allows transparency in the analysis and provides valuable and strategical information when making investment decisions related to CER sales of CDM projects.

• Proceedings of the Korean Operations and Management Science Society Conference
• /
• 2000.04a
• /
• pp.314-317
• /
• 2000

금융파생상품인 옵션의 가치평가를 이해하는 데 널리 사용되는 이항분포모형은 다음과 같은 특징을 가지는 것으로 알려져 있다 첫째, 옵션의 가치는 주가의 상승 또는 하락할 확률과는 무관하게 결정된다. 둘째, 옵션의 가치는 투자자의 위험에 대한 태도와는 관계없이 결정된다. 이 논문에서는 옵션의 기초물인 주가가 한기간 후에 상승 또는 하락하는 기본모형에서 옵션의 가치평가가 주가의 변동 확률과 투자자의 위험에 대한 태도와 무관하지 않음을 예제를 통하여 밝히게 될 것이다.

• Journal of Korean Institute of Industrial Engineers
• /
• v.29 no.2
• /
• pp.126-134
• /
• 2003

Among a variety of models proposed by so far to calculate the real options value when the investment decision about the underlying project may be delayed, the Black-Scholes and the binomial lattice models have been widely used and discussed by academics and practitioners. However these two models do not provide us with intuition into how it is constructed and what it does really mean. In this paper, we will therefore explore its components and practically more intuitive meaning. With the components explored, we developed the mathematical model to calculate the real options value and thus strategic net present value, based on the opportunity cost concept, for which the investment decision about the underlying project is postponed by one year. We will finally present a short illustrative example for readers better understanding on the model proposed in the paper.

• Journal of Korea Port Economic Association
• /
• v.28 no.3
• /
• pp.235-257
• /
• 2012

Recently the role of ports has been changed to satisfy flexibly needs of demands in global economy. A new concept for ports is not just a place for international trade but an important nodal point in logistics chain. The changing environment like this trend creates a high degree of uncertainty and leaves port managers confused with the question how to respond effectively to dynamic market. The latest studies provide that the port must have a good hinterland to achieve competitive advantages in a logistics chain. Korean Government announced "The Master Development Plan for Port Logistics Parks in Korea" in 2006. This contains the plan of hinterland construction of Busan New Port to achieve the status of logistics hub in Asian market. Previous studies rely solely on traditional DCF(discounted cash flow) analysis for investment of hinterland. However DCF method does not include irreversibility, uncertainty and the choice of timing for investment project. This thesis introduces a ROPM(real options pricing model) which overcomes the limitations of traditional valuation methods. The option valuations in this study utilize the Black-Scholes model, the binomial model and the MonteCarlo simulation to value investment opportunity of a port hinterland. In this thesis, an attempt is made to modify the NPV criterion by incorporating the real options approach, and its application is demonstrated in a hinterland construction investment plan. This research has conducted an empirical analysis by calculating economic value of the investment for a hinterland of Busan New Port.