실물옵션을 이용한 재건축사업 가치평가에 관한 연구

Recently many apartment reconstruction projects have been executed for the improvement of living conditions and the supply of new apartment. But, the process of apartment reconstruction projects contains a lot of risk factor and uncertainty. In addition traditional valuation method, DCF have failed because this method cannot properly capture strategy flexibility and uncertainty of apartment reconstruction projects. So, This study is to suggest the application of the Real Option to apartment reconstruction projects valuation. An Real Option Approach to apartment reconstruction projects has the potential to conceptualize and quantify the value of American Sequential Compound Option by binomial lattice model. We suggest a modeling process of Real Option using Seoul Jamsil OO reconstruction apartment complex. We estimate option volatility by Monte-Carlo Simulation and up step-size, down step-size, risk-neutral provability by Cox, Ross, Rubinstein(1976) method. the main results are as follows. The passive NPV of Seoul Jamsil OO reconstruction apartment complex using DCF method is ￦ 440.4 billion. The value of American Sequential Compound Option by binomial lattice model is ￦ 44.2 billion. So, the expanded NPV is ￦ 484.2 billion when we consider strategy flexibility and uncertainty. Finally we expect that this study will improve the confidency and accuracy of valuation process and more helpful to the decision making about apartment reconstruction project.