노동 기회의 옵션 가치와 최적 은퇴 결정: 이항 모형을 이용한 접근법
Option Value of Lifetime Labor Income and Optimal Retirement Decision: A Binomial Tree Approach
안상진(아주대학교); 구형건(아주대학교); 전준기(경희대학교)
38권 4호, 39~48쪽
초록
In this paper, we consider the retirement and financial choice problem of an economic agent and solve it by the binomial tree model. In the dual martingale approach we take, the decisions are made by measuring the shadow price of personal wealth. We take an American option-type interpretation of the opportunity to work to evaluate the retirement decision. Different from previous infinite horizon models, here we provide a finite horizon framework where the maturity time can be comparable. We also present comparative static results for the retirement boundary.
Abstract
In this paper, we consider the retirement and financial choice problem of an economic agent and solve it by the binomial tree model. In the dual martingale approach we take, the decisions are made by measuring the shadow price of personal wealth. We take an American option-type interpretation of the opportunity to work to evaluate the retirement decision. Different from previous infinite horizon models, here we provide a finite horizon framework where the maturity time can be comparable. We also present comparative static results for the retirement boundary.
- 발행기관:
- 한국경영과학회
- 분류:
- 경영학