농지은행 경영회생지원사업 농지환매권의 실물옵션가치 및 조기행사가능성 추정* - Longstaff-Schwartz방법을 적용하여 -

Analysis of the Value of Real Options and the Possibility of Early Exercise for Redemptive Right Provided by Farmland Bank Business Recovery Program with Longstaff-Schwartz Approach

This study analyzes the value of real options for redemptive right provided by Farmland bank business recovery program and estimates the possibility of early excercise of the right, where the program has been an important policy instrument to alleviate farmers’ debt problems since year 2006. The redemptive right can be considered as an American call option because farmers with the right can repurchase the farmland sold to Farmland bank within a maturity date at any time. Thus, we adopt the Longstaff-Schwartz approach, a simulation method that is suitable for the analysis of American call option. Data were obtained from Chungbuk province. Results show that the value of real options for the right is 4,847won/㎡ and the possibility of early exercise is cumulated to 37.5 percent by six years. On the other hand, indecisive cases take place up to 32.2 percent of all cases, which leads to 1,477won/㎡ when the cases are converted to budget loss. Sensitivity analysis includes the change in divided payment ratio, transfer income taxdrift rate, internal fund ratio, and extension of maturity date. The value of real options increases with a transfer income tax and the extension of maturity date, while the possibility of early exercise increases with a transfer income tax, internal fund ratio, and the extension of maturity date. The value of real options is not sensitive to divided payment ratio, and internal fund ratio, while the possibility of early exercise increases with divided payment ratio. This implies that Farmland bank can design any instruments to help farmers to join the program and to boost repurchase of the farmland sold, thus making the program more sound.,