IT서비스 아웃소싱 프로젝트 위험과 실물옵션 유형간 적합성에 관한 연구

남승현,안중호,양희동 한국경영정보학회 2013 Asia Pacific Journal of Information Systems Vol.23 No.2

IS outsourcing has an important meaning to the Korean SME’s (Small and Medium Enterprises) which want to use the IS Services. The objective of this research is to manage IT risks occurred during IS outsourcing project process. This study tries to identify these risks using real option methodology. In order to perform this objective, this study set up the research model which is composed of two main concepts. The first one is the risk factors occurred during IS outsourcing project process: User’s Risks, Supplier’s Risks and Transaction’s Risks. All of these risks are based on Transaction Cost Theory. The second one is the intention to get (or buy) Real Options to manage the risks. In the research model, two types of real option are included: option to abandon (put option) and option to defer (call option). This study uses questionnaires and statistics methodology (PLS) to analyze the hypotheses proposed in the research model. Compared with prior studies, this study is different in two ways. First, this study restricts the range of IT risks. Prior researches of IT Risk management in MIS area cover various range of IT risks, but this study focuses on the Korean SME’s IT outsourcing risks on the basis of Transaction Cost Theory. This study tests the relationship between the risks and real option types. Second, this study tries to test the moderating effect of user’s risks and supplier’s risks on the relationship between transaction’s risks and real option types. In IT outsourcing research area, almost studies focus on the direct relationships between IT risks and outsourcing success. But in reality, the co-relationship among IT risks may occur. There are some findings according to the research analysis. First, risks related with user’s risks have strong causal relationships with the intention to get option to abandon (put) and option to defer. But risks related with supplier’s risks have causal relationships only with option to abandon (put). Second, user’s risks and supplier’s risks have no moderating effect on the relationship between transaction’s risks and real option types. According to the research results, this research have some important and interesting implications on the IS outsourcing business area. First, this study identifies the effective types of real option to minimize the risks occurred during the IT outsourcing projects. So IS outsourcing service users can manage (or minimize) effectively the risks, which occurred during outsourcing projects, using real options. Second, real option gives benefits to suppliers and users at the same time (i.e., win-win strategies between IS outsourcing service providers and users). Vendors (:IS outsourcing service providers) can offer users the real options which can minimize the occurrence of risks in time. "IN TIME" means that before the IS outsourcing project starts, vendors can offer users the opportunity to buy real options in appropriate prices to manage the possibility of the risks of IS outsourcing project. And users also have chance to minimize the IT outsourcing risks occurred during the project process using real options.

실물옵션모형을 활용한 부동산 개발가치 평가

김중영 ( Jung Young Kim ),김영국 ( Young Kuk Kim ) 한국감정평가학회 2008 감정평가학논집 Vol.7 No.2

The Concept of Real Option Model is managerial flexibility in dealing with the uncertainties by having various options in place. Real options reasoning is a logic for funding the real estate development project that maximizes learning and access to upside opportunities while containing costs and downside risk. The Real Option Model cures the problem of the traditional DCF(Discount Cash Flow) in capital budgeting that is uncertain cash flow, there is an opportunity to delay, expand or abandon the project. The fact that the vale of Real Option Model can be measured provides useful insight regarding not only to the investors, to the appraiser but also to the investment policy makers. In this paper I applied the Black -Scholes Model and Binomial Lattice Model to the valuation of the expansion and deferral call option. And I applied Real Option Model which examines the empirical prediction of Real Option Model to the valuation of Real Estate Development. I empirically tested the Real Option Model(Black -Scholes Model, Binomial Lattice Model) to find out whether it is reasonable or not. The results from this case. I concluded that the Real Option Model is very useful for evaluating the valuation of Real Estate Development.

실물옵션접근법의 평가모형과 해외시장진출 의사결정 적용

문창권 한국무역연구원 2010 무역연구 Vol.6 No.4

This paper identifies the concept, properties, and application sectors of real option approach, analyzes and designs the valuation model for screening and selecting the proper market and make the best decision of timing and mode of overseas market entry. Specifically we make the detailed analysis the processes and their properties of deriving the Black-Scholes( B-S) model of pricing the option value, compare the significant relative properties of B-S and Binomial tree model for pricing option, and present the corresponding driving and affecting factor and components of real option and financial option. As well, we explore the option properties of firms' decision makings for entering into the foreign markets and preparing the critical measures to deal with the uncertainties and acquiring the best performances. Especially this paper designs and presents the practical and clear application frameworks of real option approaches.

실물옵션을 이용한 가치평가와 투자의사 결정:IT 프로젝트 사례를 중심으로

양동훈,이준서,남찬기,박기재,곽명재 한국경영학회 2006 Korea Business Review Vol.10 No.1

Under traditional analysis of the capital budgeting, it is assume that management cannot react to deviation from the expected scenario of cash flows. In practice, however, it is less likely that the expected scenario will come true when new information arrives and uncertainty is resolved. Uncertainty and risk can be influenced through ‘managerial flexibility’, which becomes a central instrument for value creation. Real option framework takes this managerial flexibility into account. Therefore, it is more appropriate to use real option method to evaluate the project than the traditional DCF (discounted cash flow) tool if the firm has high volatility of the expected returns. In this study, we analyze the project evaluation using real option through case study about an IT firm that considers the investment of a project called as portal ASP(Application Service Provider). We use replicating portfolio approach, one of the applied binomial option pricing model, for option pricing and employ Monte Carlo simulation to estimate the standard deviation of rate of returns. This study finds the project that is rejected by DCF tool can be accepted if we use real option methodology. This result suggests that real option can be appropriate tool to evaluate the project if the firm has managerial flexibility under the uncertainty. 전통적인 자본예산 분석에서는 사업분석 시 현금흐름이 이미 결정되어 수행기간동안 변하지 않는다고 가정한다. 하지만 현실적으로 볼 때 새로운 정보가 유입되고 그에 따른 불확실성이 해소되면 기업은 경영상의 유연성을 가지게 되며 예상된 현금흐름의 시나리오는 변할 수 있다. 이러한 경영상의 유연성(managerial flexibility)은 기업들에게 회피하려고만 했던 불확실성이 투자기회의 가치를 증대 시킬 수도 있다는 새로운 인식을 하게했다. 이 같은 경영상의 유연성을 측정할 수 있는 수단이 실물옵션(real options)이며 기초자산의 변동성(volatility)이 높은 기업일수록 전통적인 순현가법(DCF: discounted cash flow)보다 실물옵션을 이용한 투자의사결정 방법이 보다 논리적일 수 있다. 이에 따라 본 연구에서는 실물옵션을 활용한 가치평가 방식이 어떻게 기업의 투자의사 결정에 적용될 수 있는가를 실제 사례분석을 통해 알아 보았다. 즉, 실물옵션분석 기법을 인터넷 포털 ASP(Application Service Provider) 사업에 진출하고자 하는 IT기업의 사례에 적용해 보았다. 실물옵션 가격결정 모델로는 이항옵션 모델의 하나인 복제 포트폴리오 방법 (replicating portfolio approach)을 사용했으며 몬테카를로 시뮬레이션을 이용해 기대가치의 변동성에 대한 추정치를 얻었다. 분석결과, 전통적인 순 현가법을 적용했다면 기각될 수 있는 프로젝트가 실물옵션 투자의사결정 방법을 사용할 경우 채택될 수 있음을 보여주었다. 이 같은 결과는 불확실성 하에서 유연한 단계적 의사결정이 가능한 경우 실물옵션은 경영의사결정의 유용한 대안이 될 수 있다는 것을 의미한다고 할 수 있다.

토지리턴제의 옵션 가치평가: 고양삼송지구 사례

서광채 ( Kwang Chae Seo ),정준호 ( Jun Ho Jeong ),방경식 ( Kyung Sik Bang ) 한국감정평가학회 2012 감정평가학논집 Vol.11 No.1

옵션이론은 금융 분야에서 주로 논의하는 영역이나, 2008년 미국의 서브프라임 사태 이후 부동산시장의 불확실성이 확대되면서 실물옵션의 논의가 재개되고 있으며, 그러한 논의를 촉진시키는 것이‘해약보장제’나‘토지리턴제’와 같은 새로운 분양방식이다. 이 연구는 부동산의 근본인 토지에 주목하여 토지리턴제의 풋옵션 특성을 파악하고, 그 옵션의 가치가 얼마나 되는지 파악하고자 시도하였다. 이를 위해 사례연구방법을 채용하였다. 한국토지주택공사가 토지리턴제를 활용하여 분양 공고한 고양삼송지구 내 주거전용 택지 221필지인 사례를 이항옵션가격결정모형에 적용하여 분석하였다. 분석결과 토지리턴제의 적용에 따른 고양삼송지구 내 주거전용 택지 221필지의 옵션가치는 평균 89,855천원으로 산정되었다. 이는 명목 공급금액의 약 10.5%, 실질 금액의 약 12.3%에 해당하는 높은 값이다. 이는 보상평가를 할 때 적정가격의 판단기준으로 적용하는 10%를 상회하는 수치로서 의미있는 값이다. 이 연구는 특정 기업이 시행한 토지리턴제의 실물옵션 속성을 발견하고 그 가치를 평가했다는 점에서 의의가 있다. 특히 감정평가의 현실적합성을 제고하는 대안적 평가방법을 제시함으로써 평가기법의 확대에 기여했다는 점에서 유용성이 있다. 또한, 부동산의 기본을 이루는 토지의 옵션가치를 산정함으로써 실물옵션의 적용분야를 확장시켰다는 점도 의미를 부여할 수 있다. Option theory is the region mainly to discuss in the financial sector. But, as uncertainty of the real estate market has expanded after subprime mortgage crisis, real option debate has revived. The “Cancellation Guarantee” or “Land Return System(LRS)” in the new sale has promoted the debate. This study identifies the characteristics of put option in “LRS” and attempts to know how much the value of the option is. For this, case study method is adopted. 221 lots in the Goyang Samsong residential district that Korea Land & Housing Corporation attempted to sell by return system are used. After reviewing the option thoery and the real option valuation models, practical model, based on the Binomial Option Pricing Model is designed. Value of put option of 221 lots in the Goyang Samsong residential district is an average of 89,855 thousand won. That is approximately 10.5% of the nominal amount of supply and 12.3% of the real amount. Because this figures exceed 10% which acts as standards of just price in the Compensation-Appraisal area, that is meaningful value. This study is significant to discover the characteristics of real option in the land and calculate its value and can contribute to the expansion of valuation method and application of Real Option.

Real Option 모형과 SAM데이터를 활용한 중국과 태국의 주거용 태양광 투자 시점 분석

문용마(Yongma Moon) 한국전자거래학회 2019 한국전자거래학회지 Vol.24 No.2

본 논문에서는 중국과 태국의 각 5개 지역에 대해 SAM(System Advisor Model)의 태양광 자료를 활용하여 주거용 태양광 시스템 투자 경제성을 분석하였다. 이는 기존 문헌과 달리 태양광 시스템의 비용 불확실성과 이로 인해 발생할 수 있는 투자자의 의사결정 유연성을 고려할 수 있는 real option 모형을 활용하여 최적 투자 시점의 관점에서 수행되었다. 본 연구결과 real option에 의한 투자 시점과 일반적으로 많이 사용되는 순현가법에 의한 결과와의 차이가 약 6년에서 14년 정도로 나타났다. 또한, 일부 지역에서는 순현가법에 의하면 투자가 적정한 것으로 판단되나 real option에 따른 결과는 투자를 지연하는 것이 합리적이라는 결론을 보여준다. This paper provides economic analysis for a residential photovoltaic (PV) power system of 5 districts in China and Thailand, using SAM (System Advisor Model) data. Unlike existing literature, the analysis is conducted from the investment timing perspective, as applying to a real option model which can incorporate the cost uncertainty of the PV system and a resident’s option to delay the investment. This study shows that the gap of optimal investment times between a real option model and a generally used net present value model ranges from about 6 to 14 years. Also, we found a contracting result for a particular district that, while the investment is appropriate according to the net present value model, it is more reasonable to delay the PV system investment in terms of the real option model.

실물옵션을 이용한 주택재개발사업의 최적 투자시점 분석

진연화(Jin, Yeon-Hwa),유정석(Yu, Jung-Suk) 경기연구원 2017 GRI 연구논총 Vol.19 No.1

The real option is applied to investment options of financial options. In case of Housing Redevelopment project which takes a long period of business, there are various business risks according to future uncertainty and it is an appropriate analysis technique to reflect the volatility. In this study, we applied the postponement option to determine the optimal investment point in the early stage of the project among various options of the real option as an alternative to the cash discount method which underestimates the value of future cash flow in the business redevelopment project. The postponement option assumes that a postponement of approximately five years from one period to five periods is possible. According to the evaluation of the value of the Deferral option, the value of the project was calculated from 46,319 million won for one period to 106,636 million won for five periods. The delay option for the residential redevelopment project is the best investment point. In the future, businesses such as the Housing Redevelopment Association, which is promoting the housing redevelopment project, need to actively introduce and utilize real option schemes that can adequately assess the value of business feasibility by supplementing the limitations of the classical cash flow discount method (DCF).

실물옵션(Real Option) 분석을 통한 발전차액기준가격(Feed-in Tariff) 산정

전영신(Young-Shin Jeon),김형택(Hyung-Taek Kim) 에너지경제연구원 2010 에너지경제연구 Vol.9 No.1

본 연구에서 저자는 실물옵션을 이용하여 발전차액기준가격을 결정하는 모델을 개발하였고, 이를 태양광발전 사업에 적용하였다. 발전차액의 정산구조가 유럽식 풋옵션 구조이므로 Black-Scholes 공식으로 계산하여 실물옵션에 융합하였다. 균등화발전원가에서는 옵션구조로부터 발생하는 프리미엄을 고려하지 않기 때문에, 본 연구가 불확실성을 고려한 발전차액 기준가격 선정의 새로운 시도라 볼 수 있겠다. 연구결과에 따르면 향후 전력가격이 상승하더라도 발전차액기준가격이 감소하는 것이 아니라 증가하다가 감소하는 경향을 보인다. 이는 전력가격이 상승함에 따라 발전차액으로 받게 되는 이익이 감소하는데다 연기옵션의 가치인 기회비용의 크기가 증가하다가 감소하기 때문이다. 따라서 전력가격이 상승하더라도 태양광발전사업자가 발전차액기준가격 상승을 요구할 유인이 생기며, 이는 전력가격의 리스크에서 기인한다. 따라서 정부는 리스크가 있는 사업의 특성을 고려하여 적절한 발전차액기준가격을 결정하여야 할 것이다. In this study, a Feed-in Tariff pricing model is developed using real option and applied to photovoltaic power generation. The Black-Scholes formula is conversed with real option because the structure of FIT clearing condition is similar to European put option. This pricing methodology is possibly new approach for FIT pricing under electricity price risk, but levelized generation cost method do not consider this premium from the option structure. In the result of this study, FIT ascend to certain electricity price and descend above this price. This is because the payoff from FIT is reduced as electricity price rise and opportunity cost, difference between real option value and benefit is reduced. So photovoltaic electricity producer possibly demand rise of FIT even though electricity price ascend. Consequently, government have to estimate FIT after understanding of this characteristics of real option and FIT under price risk.

실물옵션을 이용한 재건축예정 아파트의 감정평가: 가격과 비용의 확률과정을 고려한 모형을 중심으로

서광채 한국감정평가학회 2019 감정평가학논집 Vol.18 No.3

This study theoretically constructs a model that considers both price and cost uncertainty, applies it to apartments to be rebuilt in Gangnam-gu, Seoul, and derives the value of apartments to be rebuilt and compares it with the application results of the maturity model considering only NPV method and price uncertainty. By analyzing, we tried to identify the characteristics of the real option model. The results of the analysis show that the value of the real option model considering uncertainty is greater than the NPV method without considering uncertainty. About 25% to about 34%. On the other hand, in the real option model, the value of model 2 reflecting the uncertainty of price and net profit was the largest value, assuming the development cost as the time invariant parameter in the model constructed in this study. Model 1, which reflects all uncertainties, has the next highest value, while Model 3, which reflects only uncertainty in price, shows the smallest value. These findings suggest that in the appraisal practice, various real option models should be applied to the situation. In other words, it is preferable to apply model 1 when volatility of price, cost, and net income is expected, model 2 when volatility of price and net income is expected, and model 3 when only volatility of price is expected 본 연구는 가격과 비용의 불확실성을 모두 고려한 모형을 이론적으로 구축한 후 서 울시 강남구 재건축예정아파트에 적용하여 재건축예정아파트의 가치를 도출하고, NPV법과 가격의 불확실성만을 고려한 만기무한모형의 적용결과와 비교분석함으로 써 실물옵션모형의 특징을 파악하고자 하였다. 분석결과 불확실성을 고려한 실물옵 션모형의 가치가 불확실성을 고려하지 않은 NPV법에 비해 큰 값을 보여주고 있는 데, 실물옵션모형과 NPV법의 차이에 해당하는 옵션가치는 실물옵션모형에 의한 재 건축예정아파트 가치의 약 25%에서 약 34%로 분석되었다. 한편, 실물옵션모형 중 에서는 본 연구에서 구축한 모형에서 개발비용을 시간불변파라미터로 가정하고 가 격과 순수익의 불확실성을 반영한 모형 2의 가치가 가장 큰 값으로 나타났으며, 가 격, 개발비용 그리고 순수익의 불확실성을 모두 반영한 모형 1이 다음으로 큰 값을 지니고, 가격의 불확실성만을 반영한 모형 3이 가장 작은 값을 나타냈다. 이러한 결 과는 감정평가실무에서 상황에 맞게 다양한 실물옵션모형을 적용하여야 함을 시사 한다. 즉, 가격과 비용, 순수익의 변동성이 예상될 때에는 모형 1을, 가격과 순수익 의 변동성이 예상될 때에는 모형 2를, 가격의 변동성만이 예상될 때에는 모형 3을 적용하는 것이 바람직함을 의미한다.

이항옵션을 활용한 부동산 개발 사업의 가치평가 및 투자시점에 관한 연구

박도영(Park Do-Young),정성훈(Jeong Seong-Hoon),손영진(Shon Young-Jin),김주형(Kim Ju-Hyung),김재준(Kim Jae-Jun) 대한건축학회 2010 대한건축학회논문집 Vol.26 No.11

Real estate development requires huge capital investment and a long project period, so, it has very risky characteristics. Typical approaches of real estate development valuation such as NPV(Net Present Value) or IRR(Internal Rate of Return) method have been used so far. But they cannot reflect properly managerial flexibility to adapt and revise decisions in response to unexpected market risks. The real options, which are tailored to deal with uncertainty and flexibility related to an real estate development project, enable managers to take the value of flexibility in investment decision making. Therefore the purpose of this study is to evaluate a real estate development project and suggest optimal investment timing of the project by using binomial option models - especially focusing on office development projects. First, through the literature review and definition of real option, we suggested that a binomial option model which is applicable to real estate development projects. On the basis of the valuation of the project, we indicated an optimal investment timing model using a deferral option. Finally we verified these models through a case study of office development projects.