농지은행 경영회생지원사업 농지환매권에 대한 실물옵션가치 추정* -충북지역을 중심으로-

Real Options Valuation for Redemptive Right of Farmland Bank Business Recovery Program in Chungbuk Province

Among the debt policies are business recovery program provided by Farmland Bank. Farmers with the program are given the redemptive right for the farmland during the program period of seven years. Thus farmers need to make a decision when to exercise the redemptive right. A real options with binomial distribution approach is adopted for this purpose. Farmlands include only paddy field in Chungbuk province to exclude the possibility of speculative transaction. Results show that an early exercise with convenience yield(CY) can take place, but not with net convenience yield (NCY). In addition, optimal exercise with NCY is made at the maturity of seven years. American option value is greater than European option value when CY is involved. On the other hand, both values are the same under NCY consideration because exercise is only made at the maturity in both cases. Sensitivity analysis shows that option value is increasing with interest rate, volatility of farmland price, and loan rate but decreasing with deposit rate. The results imply that farmers need to exercise the redemptive right optimally by observing the flow of farmland price. And development of supporting system for farmers’ decision making and consulting activities are required.