2004/02ꆡퟜ뗚286웚짌튵퇐뺿ꆡCOMMERCIALRESEARCH컄헂뇠뫅:1001-148x(2004)02-0015-03쪵컯웚좨램퓚춶뻶닟훐뗄펦폃럖컶TheApplicationandAnalysisofRealOptioninInvestmentDecision뿗뚫쏱,쎫솢펾(훐즽듳톧맜샭톧풺,맣뚫맣훝ꆡ510275)햪튪:컒쏇튪뛔춶뻶닟뗄NPV샭싛뫍ROV샭싛,폃샭싛닻쫶뷡뫏쪵샽뗄랽램살볓틔뇈뷏럖컶,듓뛸뾴돶뒫춳뗄NPV샭싛놾짭듦퓚뗄좱쿝뫜쓑쫊폃폚쫐뎡벫늻좷뚨ꆢ럧쿕뷏룟뗄럧쿕춶뻶닟;뛸퓋폃뷰죚웚좨샭싛폚쪵컯춶뻶닟뗄쪵컯웚좨랽램,퓲죕틦춹쿖돶샭싛폫쪵볹뗄폅풽탔살ꆣ맘볼듊:쪵컯웚좨;뛾닦쫷;늼삳뿋-쫦뛻쮹(Black-Scholes)쒣탍;ROV(쪵컯웚좨램)쒣탍훐춼럖샠뫅:F8301591ꆡꆡꆡꆡ컄쿗뇪쪶싫:Bꆡꆡ튻ꆢ쿖듺춶샭싛룅쫶뒫춳뗄춶뻶닟샭싛훷튪냼삨:IRR램ꆢ믘쫕웚램ꆢ쫕틦횸쫽램틔벰NPV램,웤훐,NPV뻶닟놻죏캪쫇ퟮ폐킧뗄뻶닟ힼ퓲ꆣ쯼틔믵뇒쪱볤볛횵캪믹뗣,훷튪닉폃헛쿖쿖뷰쇷(DCF)랽램ꆣ웤쮼슷쫇쿈맀볆쿮쒿캴살뗄풤웚쿖뷰쇷,좻뫳폃놾닺뚨볛쒣탍(CAPM)톡퓱폫쿮쒿럧쿕쿠쫊펦뗄헛쿖싊살볆쯣쿮쒿뗄뺻쿖횵,듓뛸좷뚨쿮쒿뗄뿉탐탔ꆣNPA풭퓲쫇쿮쒿뺻쿖횵캪헽쪱춶,캪뢺쪱뻜뻸ꆣ쯤좻쯼뾼싇떽쇋춶쿮쒿훐DCF뗄탎돉뫍럧쿕,떫쫇튲틀좻듦퓚퇏훘좱쿝:11쿮쒿뗄DCF쓑틔ힼ좷풤웚,쟒쳹쿖싊뗄좷뚨튲듸폐뫜잿뗄훷맛탔,쯹틔NPV램뎣뎣늻쓜좡뗃싺틢뗄움맀뷡맻,뛸쪵횤훐춶헟튲뎣뎣늻내NPV풭퓲뷸탐뻶닟;21NPV램듓룹놾짏뫶싔쇋평폚춶쿮쒿뻟폐쇩믮탔(Flexibility),믲폐탔(Contingency)뫍늨뚯탔(Volatility)쯹듸살뗄쓚퓚볛횵,틲듋떼훂움맀쪧킧ꆣ헽쫇틲캪틔짏벸룶쳘뗣,쪹뗃춶뻶닟뻟폐쇋웚좨뗄탔훊,ퟔ짏쫀볍80쓪듺훐웚틔살,톧쫵뷧(My2ers1S1C,1984;Mcdonald1R&D1Siegel,1986;Dixit1A1&R1Pindyck,1995)훰늽붫뷏캪돉쫬뗄뷰죚웚좨샭싛펦폃떽춶뻶닟훐,헢튻랽램뇣놻돆캪쪵컯웚좨램(RealOptionValue,ROV)ꆣ쪵볹횤쏷,ROV램퓚뛔쿮쒿쓚퓚볛횵뚨솿맀쯣뗈랽쏦뚼폅폚NPV램,폈웤뛔폚뻟폐룟뛈늻좷뚨탔뗄쿮쒿,죧:R&Dꆢ럧쿕춶ꆢ룟뿆벼뫍췸싧튵뗈ꆣ뛾ꆢNPV쒣탍폫ROV쒣탍횮샭싛뇈뷏웳튵뻶닟훐NPV램튪쿈풤웚춶뫳훮쓪뗄쿖뷰쇷탲쇐C1,C2,ꆭꆭ,CN,좻뫳좷뚨쫊떱뗄뷰믺믡돉놾,벴헛쿖싊r,볆쯣룃쿮쒿뗄쿖횵:NCiPV=6i=1i(1+r)죧맻놾뗄돵쪼횧돶쫇C0,퓲룃쿮쒿뗄뺻쿖횵캪:NPV=-C0+PV뛔폚떥튻쿮쒿,떱NPV>0,춶놻뷓쫜,죴NPV<0,퓲뻜뻸춶;뛔폚뛠룶쿮쒿,퓲탨튪퓚풼쫸뺻쿖횵캪헽뗄쳵볾쿂,톡퓱쪹뗃NPVퟮ듳뗄쿮쒿,벴:MaxꆡꆡNPVꆡꆡꆡꆡS1t1ꆡꆡNPV>0평PV뗄뚨틥쪽뿉횪,NPV램뗄맘볼퓚폚Ci뗄풤웚뫍r뗄좷뚨ꆣ뛸뛔폚쿖쪵훐뻸듳뛠쫽뗄춶쿮쒿Ci뚼쫇쯦믺뗄,r뗄좷뚨튲췹췹듸폐뫜듳뗄쯦틢탔,벴쪹Ci뗄맀볆쫇컞욫뗄,튲뫜쓑놣횤PV뗄뺫좷탔ꆣ평폚PV뗄늻좷뚨탔,뛔춶뗄뻶닟뿉쫓캪튻룶얷쪽싲좨(죧춼1쯹쪾),웤볛횵캪:VCT=max{0,PV-C0}=max{0,NPV}뛔폚쪵컯웚좨,늼삳뿋-쫦뛻쮹(Black-Scholes)쒣탍ퟷ캪튻룶뺭뗤뗄쟳뷢릫쪽틑뺭퓚웤뚨볛훐뗃떽맣랺펦폃,쇭췢웚춼1ꆡ춶뻶닟ꆡ쫕룥죕웚:2003-01-17ퟷ헟볲뷩:뿗뚫쏱(1978-),쓐,즽뚫첩낲죋,훐즽듳톧맜샭톧풺2001뷰죚톧퇐뺿짺,퇐뺿랽쿲:뷰죚쫐뎡ꆣ
ꆤꆡ16ꆤ짌튵퇐뺿2004/2좨쫽횵뚨볛뮹폐죽샠훷튪랽램:췸룱럖컶램(LatticeMethod)ꆢ폐쿞닮럖벼쫵(FiniteDifferenceMethod)뫍쏉쳘뾨싞쒣쓢벼쫵(MonteCarloSimulationMethod)ꆣ돽듋횮췢,뮹폐톧헟뛔럇뗼듺탔쫽횵럖컶벼쫵뷸탐쇋돵늽뗄첽쳖ꆣ췸룱럖컶벼쫵뗄믹놾쮼쿫쫇쿈붫웚좨뗄뇪뗄닺퓚럧쿕훐탔쳵볾쿂뗄쯦믺맽돌샫즢뮯,좻뫳퓙샻폃뚯첬맦뮮랽램쟳뷢룃웚좨뗄볛룱,훷튪냼삨뛾닦쫷ꆢ죽닦쫷틔벰뛠캬췸싧럖컶벼쫵뗈ꆣ웤훷튪쫇뷢뻶죧뫎퓚떱잰쫕틦뗄쟩뿶쿂ퟶ돶ퟮ폅뻶닟ꆣ헢훖랽램쿈싞쇐돶쪵컯웚좨퓚폐킧웚쓚뇪뗄닺뗄뿉쓜볛횵,좻뫳략믘캴살ퟮ폅닟싔뗄볛횵ꆣ랽램뗄뫋탄쫇놴뛻싼램퓲,벴컞싛맽좥뗄ힴ첬뫍뻶닟죧뫎,뛔캴살뗄쯹뻶뚨뗄ힴ첬뛸퇔,캴살뗄뻶닟뇘탫릹돉ퟮ폅뻶닟ꆣ헢훖랽램쿖뷰쇷헛쿖략믘떽떱잰뻶닟뗣,폃랴쿲뗝췆랽쪽뷢뻶뻶닟컊쳢ꆣ뛸퓚뷢뻶떥웚ퟮ폅뻶닟컊쳢뫳뗄략믘,퓲놣횤쇋헻룶컊쳢뗄ퟮ폅뮯ꆣ폐쿞닮럖뫍쏉쳘뾨싞쒣쓢벼쫵퓲틲캪쫽톧뒦샭짏뗄벼쫵쓑뛈뇈뷏듳,쯹틔펦폃늻쫇뫜맣ꆣ틲듋,듓쪵폃틔벰쫽톧뗄뷇뛈뾼싇,놾컄붫횻뛔늼삳뿋-쫦뛻쮹(Black-Scholes)쒣탍폫뛾닦쫷쒣탍뷸탐샭싛럖컶ꆣ쫗쿈,뾼싇뛾닦쫷쒣탍ꆣ헢쫇쒿잰펦폃ퟮ캪맣랺뗄쪵컯웚좨맀볛랽램ꆣ뛾닦쫷쒣탍쏨쫶쇋볛룱뗄뿧쪱퓋뚯,닺뗄볛횵뇤뚯쎿웚폐솽훖뿉쓜뗄뷡맻,틔룅싊p짏짽떽S0u,믲틔룅싊(1-p)쿂붵떽S0dꆣ춼2(솽웚뛾닦쫷쒣탍)폐훺폚횱맛뗘샭뷢뛾닦쫷뻶닟맽돌,틲캪웚좨듺뇭쇋뷸탐춶뗄좨솦뛸럇틥컱,웤횧뢶믺훆뛔폚웚좨돖폐죋쫇럇뛔돆뗄ꆣ튲뻍쫇쮵,웚좨횻폐퓚웤뻟폐튻룶헽뗄볛횵쪱닅믡놻횴탐ꆣ춼2ꆡ솽웚뛾닦쫷쒣탍뛾닦쫷쒣탍쫇춨맽뢴훆춶ퟩ뫏랽램뛔쪵컯웚좨뷸탐뚨솿럖컶뗄ꆣ뻟쳥쫇,퓚쫐뎡컞쳗샻볙짨쿂,춨맽뢴훆튻룶춶ퟩ뫏살쓢뫏춶쿮쒿뗄쿖횵믲뺻쿖횵ꆣ헢샯틔솽웚뗄뛾닦쫷쒣탍캪샽,룸돶웚좨뗄뚨볛릫쪽:f=-2rꚤt2e[pfuu+2p(1-p)fud+(12-p)fdd]웤훐,f쫇웚좨뗄떱잰볛룱,fuuꆢfud뫍fdd럖뇰듺뇭솬탸돶쿖뫃쟩뿶ꆢ튻쓪뫃튻쓪뮵뫍솬탸돶쿖뮵쟩뿶쪱웚좨뗄횧뢶,r쫇컞럧쿕샻싊,ꚤt쫇웚좨샫떽웚죕뗄쪱볤,p뫍(1-p)럖뇰듺뇭쿂웚돶쿖뫃쟩뿶뫍뮵쟩뿶뗄룅싊ꆣ짏쫶룷닎쫽훐r뫍ꚤt뫜죝틗좷뚨,샭싛짏횻튪쓜릻맀쯣돶pꆢfuuꆢfud뫍fdd,뇣뿉틔좷뚨쪵컯웚좨(춶)뗄볛횵fꆣ샫즢ힴ첬쿂웚좨볛룱뗄좷뚨폃떽뛾닦쫷쒣탍,떱쪱볤컞쿞쾸럖,Black-Scholes쒣탍뻍돉쇋쯼뗄튻룶쳘샽,헢룶쒣탍평FisherBlack뫍MyronScholes폚1973쓪랢뇭퓚웤싛컄ꆶ웚좨뚨볛폫릫쮾햮컱ꆷ훐,쿠뛔폚잰헟살쮵,Black-Scholes쒣탍폖뛠쇋웟쳵볙짨,쯼죏캪웚좨볛룱쿈ퟱ톭퇏룱뗄벸뫎늼샊퓋뚯믹뒡,좻뫳퓚쫐뎡췪좫샭쿫뮯믹뒡짏췆돶뚨볛릫쪽ꆣ웤듎,뾼싇Black-Scholes쒣탍퓚쪵컯웚좨훐뗄펦폃ꆣ짨s,ꛒ럖뇰캪닺욷뗄볛룱뫍닺욷뗄볛룱늨뚯싊,S뿉폃쮲쪱웚췻욯틆싊ꛌS뫍쮲쪱랽닮싊ꛒ2S2뇭쪾,벴:dS=ꛌSdt+ꛒdz쪽훐,dz=ꛅdt,zퟱ톭캬쓉맽돌(Weinerꆯsprocess)ꆣꛅ캪뇪ힼ헽첬럖늼훐뗄튻룶쯦믺횵ꆣ퓚쫐뎡샭쿫쟩뿶쿂,컒쏇춨맽컞쳗샻뻹뫢럖컶뿉틔뷢돶Black-Scholes쒣탍뗄캢럖랽돌:5f5f1+rS+ꛒ2252fS52=rf5t5S2S횻뾼싇뾴헇얷쪽웚좨(늢늻펰쿬뷡싛뗄튻냣탔),웤뇟뷧쳵볾(BoundaryConditions)캪:떱t=T쪱뫲,f=max(S-X,0)헢퇹,뻍뿉틔뗃돶춶볛횵뗄볆쯣릫쪽:V=N(d1)S-N(d2)X-ꛃꛓe틔벰ln(S/x)+(r+ꛒ2/2),d1=ꛒꛓ;d2=d1-ꛒꛓꆣ
ퟜ뗚286웚뿗뚫쏱:쪵컯웚좨램퓚춶뻶닟훐뗄펦폃럖컶ꆤꆡ17ꆤ웤훐,S:막욱볛룱;X:횴탐볛룱;ꛓ:쪣폠쫙쏼웚;ꛃ:컞럧쿕쫕틦싊;ꛒ2:막욱볛룱뗄랽닮;N(d):뇪ힼ헽첬럖늼킡폚d뗄룅싊ꆣ뛔폚듋쒣탍,쪵컯웚좨뗄쫤죫뇤솿춬뷰죚웚좨횮볤뗄뛔펦맘쾵죧뇭1:뇭1ꆡ쪵컯웚좨뗄쫤죫뇤솿춬뷰죚웚좨횮볤뗄뛔펦맘쾵ꆡꆡ죽ꆢNPV쒣탍폫ROV쒣탍횮펦폃뇈뷏막욱뾴헇웚좨쪵컯웚좨퓚짏쫶샭싛믹뒡짏,컒쏇붫뷡뫏쪵샽살뷸탐쮵S막욱볛룱춶쿮쒿뗄쫐뎡볛횵쏷ꆣ쒳릫쮾ힼ놸퓚2002쓪뷸탐뗚튻웚춶,풤웚뫏쫊뗄뗚뛾웚춶쪱볤캪2005쓪,뗚죽웚춶쪱볤캪2006X횴탐볛룱춶쿮쒿뗄춶죫놾ꛓ떽웚쪱볤쓜릻췆동춶뻶닟뗄쪱볤쓪ꆣ릫쮾퇐뺿뾪랢웚캪2쓪,짺닺쿟릺훃쪱볤캪2008쓪ꆣ볙뚨쯹폐쿖뷰쇷솿뚼쫇듓짺닺쿟릺훃뗄뗚뛾쓪뾪ꛃ컞럧쿕쫕틦싊컞럧쿕쫕틦싊쪼닺짺,볒맀볆뗄폐맘춶벰쿖뷰쇷솿쫽뻝죧뇭2ꆢꛒ2막욱볛룱뗄랽닮춶쿮쒿럧쿕(쿮쒿볛횵뗄랽닮)뇭3뫍뇭4ꆣ뇭2뗚튻웚춶쿖뷰쇷솿떥캻:췲풪쓪ꆡꆡ럝2002200320042005200620072008뺻쿖뷰쇷솿-10003004003403801900뇭3뗚뛾웚춶쿖뷰쇷솿떥캻:췲풪쓪ꆡꆡ럝2005200620072008200920102011뺻쿖뷰쇷솿-240050012008009504500뇭4뗚죽웚춶쿖뷰쇷솿떥캻:췲풪쓪ꆡꆡ럝2006200720082009201020112012뺻쿖뷰쇷솿-1000-8002200500100020002000쓪럝2013201420152016201720182019뺻쿖뷰쇷솿3000300020002000200010000ꆡꆡ릫쮾룹뻝뎤웚뺭퇩,붫뺭맽럧쿕뗷헻뗄튻웚뫍뛾웚춶뷰돉놾싊좷뚨캪20%,죽웚춶뷰돉놾싊좷뚨캪30%ꆣ쫐뎡컞럧쿕샻싊r=5%,춶볛횵쿠뛔뇤뚯뗄쓪뇪ힼ닮ꛒ뺭맀볆,뗚뛾웚쿮쒿캪35%,뗚죽웚쿮쒿캪30%ꆣ쫗쿈,퓋폃NPV램NCi,평NPV=-C0+6,붫짏쫶쿖뷰쇷럖뇰듸죫쪽훐뗃:i=1(1+ir)뗚튻웚춶:NPV1=-15185(췲풪);뗚뛾웚춶:NPV2=-48105(췲풪);뗚죽웚춶(틔2006쓪캪믹쓪):NPV3=-52138(췲풪)평NPV램살뾴,죽웚춶뚼뻟폐늻뿉탐,틲듋룹뻝NPV램룃쿮쒿붫놻럱뻸ꆣ웤듎,뾼싇ROV램,헢샯틔Black-Scholes쒣탍캪샽ꆣ죴폃웚좨뗄룅쓮살뚨틥,뗚뛾웚춶믺믡뗄볛횵뗈춬폚튻룶웚쿞캪3쓪,풼뚨볛룱캪2400췲풪,뇪뗄컯뗄떱잰볛횵캪1361108췲풪뗄싲랽웚좨뗄볛횵ꆣ벴:ꛒ=35%,T=3,S=1361108,X=2400,r=5%ꆣ룹뻝Black-Scholes쒣탍볆쯣죧쿂:d1=-013851;N(d1)=013502;d2=-019913;N(d2)=011608C=1441486(췲풪)뗚죽웚춶믺믡뗄볛횵뗈춬폚튻룶웚쿞캪4쓪,풼뚨볛룱캪2917116췲풪,뇪뗄컯떱잰볛횵캪1003104췲풪뗄싲랽웚좨뗄볛횵ꆣ벴:ꛒ=30%,T=4,S=1003104,X=2917116,r=5%ꆣ룹뻝Black-Scholes쒣탍볆쯣죧쿂:d1=-11146;N(d1)=011259;d2=-11746;N(d2)=010404C=29793(췲풪)죽웚춶뗄ퟜNPVT캪:NPVT=-1000+984015+1441486+291793=1581429(췲풪)틲듋,룃춶볆뮮뿉탐ꆣ(쿂뗚30튳)
ꆤꆡ30ꆤ짌튵퇐뺿2004/2폫듻뿮,뛔틸탐쯹쓜쳡릩뗄탭뛠럾컱늻짵쇋뷢,쳘뇰춥)뗄뷰죚럾컱ꆣ쒿잰펦믽벫췘햹뗄탂튵컱폐:싴랽쫇뛔튻킩탂탋뗄훐볤튵컱닺욷룼쫇죧듋ꆣ틲듋,튪퓋탅듻ꆢ톭뮷듻뿮ꆢ듦믵듻뿮ꆢ횤좯뗖톺듻뿮ꆢ펦쫕헋폃룷훖탻뒫맣룦쎽뷩뷸탐탻뒫,쪹죋쏇횪뗀틸탐쓜쳡뿮뗖톺듻뿮ꆢ힡햬뗖톺듻뿮뗈,쳘뇰쫇튪듳솦뾪랢쏦릩쓄킩닺욷뫍럾컱ꆣ늢폕떼죋쏇뷓쫜헢킩닺욷,늻뛏쿲룶죋(볒춥)뗄쿻럑듻뿮ꆢ힡햬벰횤좯뗖톺듻뿮탎돉탂뗄쫐뎡탨쟳ꆣ쇭튻랽쏦,퓚헾닟좡쿲짏,튪룼뗈ꆣ21뛔뢺햮튵컱뗄췘햹ꆣ퓚뢺햮튵컱랽쏦,짌튵뛠뗄맄샸뫍횧돖짌튵틸탐훐볤튵컱뗄랢햹,뇘튪쪱뿉틸탐펦틔쿖듺뷰죚뒴탂샭싛캪횸떼,늻뛏췆돶탂탍뗄쫊떱럅뿭뛔짌튵틸탐쒳킩훐볤튵컱랢햹뗄쿞훆,틔삩뢺햮훖샠,싺ퟣ룷훖햮좨죋뗄늻춬튪쟳,틔컼틽듳훐볤튵컱뗄쫐뎡탨쟳ꆣ41췪짆럾컱릦쓜ꆢ훰늽쳡뷰,삩듳짌튵틸탐뗄뷰살풴ꆣ쒿잰틑뾪랢쇋튻킩탂룟훐볤튵컱뗄닣듎쮮욽ꆣ럾컱릦쓜냼삨럾컱뗄훊닺욷,죧춨횪듦뿮ꆢ뚨믮솽뇣듦뿮뗈,떫ퟜ뗄살쮵,솿ꆢ럾컱뗄랶캧ꆢ맣뛈뫍짮뛈뗈ꆣ훐볤튵컱쫇럾컱탍튵컱췘햹뗄쓜뚯탔늻릻,뾪랢탂닺욷뗄닣듎뮹늻룟,튵컱,춨맽쳡룟럾컱훊솿,췪짆럾컱릦쓜살췆뚯훐볤럾컱틢쪶뮹늻잿ꆣ퓚뷱뫳뗄튵컱췘햹훐,튪랢믓쓜뚯튵컱뗄랢햹쫇튻룶폐킧춾뺶ꆣ퓚뾪랢룟닣듎뗄훐볤튵탔,췘햹훘뗣펦퓚틔룟훊솿ꆢ좫랽캻뗄럾컱살듙뷸뢺컱맽돌훐뇘탫ퟱ톭톭탲붥뷸뗄풭퓲,훰늽붨솢틔춶햮돉놾뗄붵뗍뫍킧틦뗄쳡룟ꆣ뇈죧룹뻝쫐뎡탨튪랢탐샭닆캪훘뗣뗄짌튵틸탐훐볤튵컱훐쫠,붨솢틔톯럾틸탐놾욱ꆢ룶죋횧욱ꆢ뿉죃횧뢶쏼쇮;뷸튻늽삩듳컱캪뫋탄뗄짌튵틸탐탅쾢맜샭뫍톯훐탄,퓚룼룟닣뷰죚햮좯ꆢ듳뛮뿉죃듦떥(CDS)ꆢ틸탐욱뻝뗈훷듎짏랢믓짌튵틸탐뗄뷡쯣훐탄뫍듺샭훐탄횰쓜,믽벫뚯탍뢺햮튵컱뗄맦쒣;뿉뾪냬듺랢릤ꆢ돶ퟢ놣쿕퇐뺿틔횤좯캪뛔쿳뗄짌튵틸탐훐볤튵컱,늢뎢쫔뫍첽쿤ꆢ쳡릩싃폎횧욱,짵훁듺뿍뮧뚩릺놨뾯퓓횾뗈럾컱쯷룟뿆벼럧쿕춶훐짌튵틸탐훐볤튵컱뗄닎폫랽틔랽뇣뿍뮧,삩듳뫍컈뚨뷰살풴ꆣ쪽ꆣꆡꆡꆡꆡ닎뾼컄쿗:(죽)뛔뢺햮튵컱폫닺튵컱뗄췘햹\[1\]ꆡ[쏀]쏗쪲뷰1믵뇒뷰죚톧\[M\1]놱뺩:훐맺죋쏱퓚붫훐볤튵컱뚨캻폚컒맺짌튵틸탐튵컱췘햹뗄훘듳톧돶냦짧,19981뗣쪱,컒쏇튲펦돤럖뗘죏쪶떽폫컷랽짌튵틸탐쿠뇈,\[2\]ꆡ쇎컄틥1짌튵틸탐튵컱폫뺭펪\[M\1]놱뺩:훐맺컒맺짌튵틸탐쒿잰뗄닺튵컱뫍뢺햮튵컱늻뷶욷훖뷰죚돶냦짧,19971짙,뛸쟒닣듎뗍,튵컱췘햹폫랢햹뗄뿕볤튲벫캪맣\[3\]ꆡ췵캬낲1쿖듺뷰죚톧\[M\1]놱뺩:훐맺뺭볃돶냦삫ꆣ틲듋,뷼튻뛎쪱웚,컒맺짌튵틸탐튵컱췘햹죔늻짧,19981뿉뫶쫓닺튵컱뫍뢺햮튵컱뗄췘햹ꆣ11뛔닺튵컱\[4\]ꆡ룟룹쮮1믽벫컈붡뷸탐틸탐뒴탂\[J\1]뷰죚폫뺭뗄췘햹ꆣ퓚췘햹닺튵컱쪱,짌튵틸탐늻펦뻖쿞폚뒫볃,2002,(9)1춳듻뿮튵컱,펦췆돶탂탍듻뿮훖샠벰웤쯻춶욷훖틔\[5\]ꆡ돂낮샲1뷰죚뒴탂짌튵틸탐랢햹뗄햽싔톡퓱싺ퟣ쫐뎡탨쟳ꆣ퓚쪵볊닙ퟷ훐,폈웤늻뿉웧쫓럇릫폐\[J\1]룄룯폫샭싛,2002,(5)1뺭볃웳튵,튪뛔쯻쏇튻쫓춬죊,튲튪훘쫓뛔룶죋(볒(퓰죎뇠벭:쪯쫷컄)(짏뷓뗚17튳)쯄ꆢ뷡쫸폯놾컄뛔NPV쒣탍뫍ROV쒣탍퓚릫쮾뻶닟훐춶볛횵뗄좷뚨짏,뷸탐쇋샭싛랽쏦뫍쪵볊펦폃뗄뇈뷏럖컶ꆣ튻냣살쮵,퓚짦벰떽늻좷뚨탔뫜룟뗄쪵컯춶훐,NPV럖컶늢늻쓜뛔웤뷸탐뫏샭폐킧뗄뒦샭,떫늻탒뗄쫇,쪵컯춶훐뗄웚좨탔훊좴잡잡쫇튻훖뷏캪웕뇩듦퓚뗄뿍맛쿖쪵ꆣ퓚헢훖쟩뿶쿂,쪵컯웚좨샭싛퓲쿔쪾웤췾솦,쯼춻웆쇋뒫춳뻶닟럖컶랽램뗄쫸뢿,룸돶뗄쫊뫏웚좨볛횵뗄뺻쿖횵에뇰뇪ힼ폫쪵볊쟩탎룼캪컇뫏ꆣ웤샭싛쪹죋쏇뛔틔잰컞램ힼ좷맀쯣뗄룷훖믺믡ꆢ쇩믮탔쓜릻뷸탐뫏샭뚨볛,듓뛸뚨솿뗘뛔웤뷸탐움맀뻶닟ꆣ룹뻝쪵컯웚좨뚨볛쒣탍,컒쏇늻뷶뿉틔뷏캪ힼ좷뗘맀쯣뻶닟쪱쯹쏦쇙뗄믺믡믲쇩믮탔,뛸쟒뮹뿉룹뻝헢킩펰쿬틲쯘살훷뚯뗷뷚ꆢ뿘훆늻좷뚨탔,살룄짆웳튵뗄햽싔뻶닟ꆣ듋췢,맺볊톧쫵뷧죧Amram뗈죋폃쪵컯웚좨풭샭틑뺭ퟜ뷡돶퓚늻좷뚨탔쫀뷧뒴붨ퟮ폐볛횵햽싔뗄탂맦퓲ꆣ듦퓚뗄컊쳢쫇,ROV쒣탍뗄펦폃퓚뫜뛠랽쏦뮹폐듽폚튵죋쪿살ퟶꆣ퇐뺿뗄쿂튻뷗뛎,ퟮ훘튪뗄믲탭펦떱쫇죧뫎붫쪵컯뚨볛룅쓮펦폃폚솿뮯뛔튻룶릫쮾뻶닟폐훘튪틢틥뗄쿮쒿럧쿕훐ꆣ닎뾼컄쿗:\[1\]ꆡCox,,,NY:Prentice-Hall,1985.\[2\]ꆡDixit,.,andPindyck,,Princeton,NJ:PrincetonUniversityPress,1994.\[3\]ꆡHull,,Futures,andOtherDerivativeSecurities(2ndedition),EnglewoodCliffs,NJ:PrenticeHall,1993.\[4\]ꆡ,JournalofPoliticalEconomy,81:637-654(May-June1973)\[5\]ꆡ샨맺뮪,샨뾭1쪵컯웚좨뗄뛾닦쫷쒣탍펦폃ꆪ늻좷뚨탔뮷뺳쿂뗄춶뻶닟럖컶\[J\1]붭컷닆뺭듳톧톧놨,2002,(3)1(퓰죎뇠벭:쯯맰헤)
