연장옵션을 포함한 인삼 재배사업의 실물옵션 분석

Real Option Analysis for Ginseng Production with an Extension Option

The production scheduling o f ginseng involves a typical decision process for the age of ginseng. Two important factors are considered in a process to determine what to produce among four year old or five year old ginseng : ginseng price uncertainty and irreversibility of investment in ginseng production. We develop a hybrid real option model to consider ginseng price uncertainty. The first stage of option is an American style of option with a finite project life. An extension option which allows the delay of market rel ease is augmented with the first stage option. Due to the absence of closed solutions for the presented model, numerical analysis is performed to show the optimal ginseng price to ensure profitability under price uncertainty and opportunity cost of irreversible investment.