인삼가격의 불확실성을 고려한 인삼 재배사업의 실물옵션가치

Real Option Analysis for Ginseng Production Considering Price Uncertainty and an Extension Option

The production scheduling of ginseng typically involves a property of stage option in which a decision for investing in 4 year old ginseng is determined combined with the possibility to continue to produce 5 year old ginseng. Two important factors are considered: ginseng price uncertainty and irreversibility of investment in ginseng production. We develop a real option model to consider ginseng price uncertainty. The first stage of option is an American style of options with finite project life and the second stage of extension option embedded in the first stage. Due to non-closed solution for the presented model, numerical analysis is performed to show the optimal ginseng price to ensure profitability even in the presence of price uncertainty and opportunity cost of irreversible investment.