A Real Option Valuation Model for Resources Exploration Projects

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2011 Vol.48, Issue 3 Next Page

A Real Option Valuation Model for Resources Exploration Projects 탐사단계 자원개발 프로젝트의 실물옵션 가치평가 모형연구: 유창석, 김종남, 허은녕
Changsok Yoo, Jongnam Kim and Eunnyeong Heo

30 June 2011. pp. 255-267

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Abstract

The fair market value of exploration project for natural resources is difficult to estimate due to the high level of technology and market uncertainties. Previous studies recommended using real option analysis to control numerous uncertainties in natural resources projects, but there was little attention on the valuation of natural resources development projects in exploration stages. Based on the theoretical assessment of valuation models, this study suggested Marketed Asset Disclaimer (MAD) approach in real option analysis for resource exploration projects. We proved the efficiency of suggested model using a case study of gold mine exploration project. Empirical results showed that MAD approach could effectively estimate the fair market value by controlling the technology and market uncertainties of the exploration projects, but discounted cash flow (DCF) analysis overestimated the value of an exploration project.

Keywords

Real option

Resources exploration

Valuation

MAD

탐사단계의 자원개발 프로젝트는 높은 기술 및 시장 불확실성으로 인해 가치평가 모형을 통한 추정의 정확도가 떨어지며, 이에 따라 사업의 가치 평가시 전문가의 경험 및 협상력에 상당량 의존하고 있다. 다양한 불확실성 요인들을 보유하고 있는 탐사단계의 자원 개발 프로젝트의 평가모형으로서 실물옵션 모형이 적합하다는 것은 이론적으로 알려져 있으나, 이에 대해서는 많은 연구들이 이루어지지 않았다. 이에 따라 본 연구에서는 이론적인 검토 및 사례 분석을 통해 자원탐사단계 사업에 적용할 수 있는 가치평가 모형을 연구하였으며, 자원 탐사 단계의 복합적인 불확실성을 효과적으로 반영할 수 있는 모형으로 이산 격자 모형(binominal lattice model)에 기반한 Marketed Asset Disclaimer(MAD) 접근법을 제안하였다. 이를 실제 금광 탐사 개발 프로젝트에 적용하여 기존 가치평가 모형 및 시장 가치와 비교한 결과, MAD 접근법이 탐사단계에서 기술 및 시장의 불확실성을 효과적으로 반영하는 것으로 나타났으며, 탐사 단계의 리스크가 해소된 시점 이후에서는 전통적인 가치평가 방법인 Discounted Cash Flow(DCF)가 시장 가치를 잘 설명하는 것으로 나타났다.

키워드

실물옵션

자원탐사

가치평가

MAD

References

설성수, 유창석, 2001, “실물옵션기법을 이용한 기술및 투자가치평가,” 한국기술혁신학회 추계 학술대회, 기술혁신학회, 서울대학교, 서울, 11월 30일, pp. 223-237.
설성수, 유창석, 2002, “기술 및 투자 가치평가를 위한 실무형 실물옵션,” 기술혁신학회지, 제5권 1호, pp. 44-58
양동우, 2000, “실무차원의 기술가치평가,” 기술혁신학회지, 제3권 1호, pp. 68-74.
오세경, 김우봉, 2001, 온라인 기업의 가치평가 실태 및 발전방안 연구, 정보통신부.
유승록, 2008, 세계 자원전쟁의 향방과 시사점, POSRI CEO report 2008.03.18, 포스코 경영 연구소, http://www.posri.re.kr
이인석, 2000, 옵션가격 결정이론을 이용한 자원개발사업 평가방법에 관한 연구, 석사학위 논문, 서울대학교 자원공학과, 서울.
이인석, 허은녕, 2004, “해외자원개발사업 평가를 위한 옵션가격 결정모형 연구,” 자원환경경제연구, 제13권 4호, pp. 735-763.
허은녕, 2000, “가치평가기법의 최근 동향,” 기술혁신학회지, 제3권 1호, pp. 37-54.
Aboody, D. and Lev, B., 1998, “The Value Relevance of Intangibles: The Case of Software Capitalization,” Journal of Accounting Research, Vol. 36, pp. 161-191.
Amir, E. and Lev, B., 1996, “Value-relevance of nonfinancial information: The wireless communications industry,” Journal of Accounting and Economics, Vol. 22, No. 1-3, pp. 3-30.
Amram, M. and Kulatilaka, N., 2000, “Strategy and shareholder value: the real options frontier,” Journal of Applied Corporate Finance, Vol. 13, No. 2, pp. 15-28.
Beaton, N.J., 2010, Valuing early stage and venture-backed companies, John Wiley & Sons, Hoboken, New Jersey, USA.
Bhappu, R.R. and Guzman, J., 1995, “Mineral investment decision making: A study of mining company practices,” Engineering and Mining Journal, Vol. 70, pp. 36-38.
Borison, A., 2005, “Real Options Analysis: Where Are the Emperor’s Clothes?,” Journal of Applied Corporate Finance, Vol. 17, No. 2, pp. 17-31.
Brealey, R., Myers, S., and Allen, F., 2008, Principles of Corporate Finance, Irwin McGraw-Hill, Boston, MA, USA.
Brennan, M.J. and Schwartz, E.S., 1985, “Evaluating Natural Resource Investment,” Journal of Business, Vol. 58, pp. 135-157.
Copeland, T. and Antikrov, V., 2001, Real Options: A Practitioner’s, Guide, Texere, New York, USA.
Cortazar, G., Schwartz, E.S. and Casassus, J., 2001, “Optimal exploration investments under price and geological-technical uncertainty: a real options model,” R&D Management, Vol. 31, No. 2, pp. 181-189.
Cox, J.C., Ross, S.A. and Rubinstein, M., 1979, “Option pricing: a simplifed approach,” Journal of financial economics, Vol. 7, pp. 229-263.
Damodaran, A., 2001, The dark side of valuation: valuing old tech, new tech, and new economy companies, Rentice Hall, Upper Saddle River, NJ, USA.
Dimitrakopoulos, R., 1998, “Conditional simulation algorithms for modelling orebody uncertainty in open pit optimization,” International Journal of Surface Mining, Reclamation and Environment, Vol. 12, pp. 173-179.
Gompers, P., 1999, A note on valuation in entrepreneurial ventures, HBS case #9-298-082, pp. 1-17.
Hodder, J.E. and Riggs, H.E., 1985, “Pitfalls in Evaluating Risky Projects,” Harvard Business Review, Vol. 63, Jan/Feb, pp. 129-135.
Kazakidis, V.N. and Scoble, M., 2003, “Planning for flexibility in underground mine production system,” SME Mining Engineering Journal, pp. 33-38.
Landers, D.M. and Pinches, G.E., 1998, “Challenge to the practical implementation of modeling and valuing real options,” The Quarterly Review of Economics and Finance, Vol. 38, Special Issue, pp. 537-567.
Louis Gignac et al., 2008, IAMGOLD Corporation: Updated Feasibility Study - Essakane Gold Project Burkina Faso, IAMGOLD, http://www.iamgold.com
Moel, A. and Tufano, P., 2002, “When are real options exercised? an empirical study of mine closings,” The review of financial studies, Vol. 15, No. 1, pp. 35-64.
Rendu, J.M., 2002, “Geostatistical simulations for risk assessment and decision making: the mining industry perspective,” International Journal of Surface Mining, Reclamation and Environment, Vol. 16, pp. 122-133.
Schodde, R., 2003, “Long term trends in exploration and the likely future of the Australian Exploration Industry,” AusIMM Technical Meeting, Melbourne.
Smith, J. and McCardle, K., 1998, “Valuing Oil Properties: Integrating Option Pricing and Decision Analysis Approaches,” Operations Research, Vol. 46, No. 2, pp. 198-217.
Smith, J.E. and Nau, R.F., 1995, “Valuing risky projects: Option pricing theory and decision analysis,” Management Science, Vol. 41, pp. 795-816.
Steffens, P.R. and Douglas, E.J., 2007, “Valuing technology investments: use real options thinking but forget real options valuation,” International Journal of Technoentrepreneurship, Vol. 1, No. 1, pp. 58-77.
Topal, E., 2008, “Evaluation of a mining project using Discounted Cash Flow analysis, Decision Tree analysis, Monte Carlo Simulation and Real Options using an example,” International Journal of Mining and Mineral Engineering, Vol. 1, No. 1, pp. 62-76.
Trigeorgis, L., 1999, Real Options: A Primer, Kluwer Academic Publishers, Boston, USA.

Information

Publisher :The Korean Society of Mineral and Energy Resources Engineers
Publisher(Ko) :한국자원공학회
Journal Title :Journal of the Korean Society for Geosystem Engineering
Journal Title(Ko) :한국지구시스템공학회지
Volume : 48
No :3
Pages :255-267

[1] 설성수, 유창석, 2001, “실물옵션기법을 이용한 기술및 투자가치평가,” 한국기술혁신학회 추계 학술대회, 기술혁신학회, 서울대학교, 서울, 11월 30일, pp. 223-237.

[2] 설성수, 유창석, 2002, “기술 및 투자 가치평가를 위한 실무형 실물옵션,” 기술혁신학회지, 제5권 1호, pp. 44-58

[3] 양동우, 2000, “실무차원의 기술가치평가,” 기술혁신학회지, 제3권 1호, pp. 68-74.

[4] 오세경, 김우봉, 2001, 온라인 기업의 가치평가 실태 및 발전방안 연구, 정보통신부.

[5] 유승록, 2008, 세계 자원전쟁의 향방과 시사점, POSRI CEO report 2008.03.18, 포스코 경영 연구소, http://www.posri.re.kr

[6] 이인석, 2000, 옵션가격 결정이론을 이용한 자원개발사업 평가방법에 관한 연구, 석사학위 논문, 서울대학교 자원공학과, 서울.

[7] 이인석, 허은녕, 2004, “해외자원개발사업 평가를 위한 옵션가격 결정모형 연구,” 자원환경경제연구, 제13권 4호, pp. 735-763.

[8] 허은녕, 2000, “가치평가기법의 최근 동향,” 기술혁신학회지, 제3권 1호, pp. 37-54.

[9] Aboody, D. and Lev, B., 1998, “The Value Relevance of Intangibles: The Case of Software Capitalization,” Journal of Accounting Research, Vol. 36, pp. 161-191.

[10] Amir, E. and Lev, B., 1996, “Value-relevance of nonfinancial information: The wireless communications industry,” Journal of Accounting and Economics, Vol. 22, No. 1-3, pp. 3-30.

[11] Amram, M. and Kulatilaka, N., 2000, “Strategy and shareholder value: the real options frontier,” Journal of Applied Corporate Finance, Vol. 13, No. 2, pp. 15-28.

[12] Beaton, N.J., 2010, Valuing early stage and venture-backed companies, John Wiley & Sons, Hoboken, New Jersey, USA.

[13] Bhappu, R.R. and Guzman, J., 1995, “Mineral investment decision making: A study of mining company practices,” Engineering and Mining Journal, Vol. 70, pp. 36-38.

[14] Borison, A., 2005, “Real Options Analysis: Where Are the Emperor’s Clothes?,” Journal of Applied Corporate Finance, Vol. 17, No. 2, pp. 17-31.

[15] Brealey, R., Myers, S., and Allen, F., 2008, Principles of Corporate Finance, Irwin McGraw-Hill, Boston, MA, USA.

[16] Brennan, M.J. and Schwartz, E.S., 1985, “Evaluating Natural Resource Investment,” Journal of Business, Vol. 58, pp. 135-157.

[17] Copeland, T. and Antikrov, V., 2001, Real Options: A Practitioner’s, Guide, Texere, New York, USA.

[18] Cortazar, G., Schwartz, E.S. and Casassus, J., 2001, “Optimal exploration investments under price and geological-technical uncertainty: a real options model,” R&D Management, Vol. 31, No. 2, pp. 181-189.

[19] Cox, J.C., Ross, S.A. and Rubinstein, M., 1979, “Option pricing: a simplifed approach,” Journal of financial economics, Vol. 7, pp. 229-263.

[20] Damodaran, A., 2001, The dark side of valuation: valuing old tech, new tech, and new economy companies, Rentice Hall, Upper Saddle River, NJ, USA.

[21] Dimitrakopoulos, R., 1998, “Conditional simulation algorithms for modelling orebody uncertainty in open pit optimization,” International Journal of Surface Mining, Reclamation and Environment, Vol. 12, pp. 173-179.

[22] Gompers, P., 1999, A note on valuation in entrepreneurial ventures, HBS case #9-298-082, pp. 1-17.

[23] Hodder, J.E. and Riggs, H.E., 1985, “Pitfalls in Evaluating Risky Projects,” Harvard Business Review, Vol. 63, Jan/Feb, pp. 129-135.

[24] Kazakidis, V.N. and Scoble, M., 2003, “Planning for flexibility in underground mine production system,” SME Mining Engineering Journal, pp. 33-38.

[25] Landers, D.M. and Pinches, G.E., 1998, “Challenge to the practical implementation of modeling and valuing real options,” The Quarterly Review of Economics and Finance, Vol. 38, Special Issue, pp. 537-567.

[26] Louis Gignac et al., 2008, IAMGOLD Corporation: Updated Feasibility Study - Essakane Gold Project Burkina Faso, IAMGOLD, http://www.iamgold.com

[27] Moel, A. and Tufano, P., 2002, “When are real options exercised? an empirical study of mine closings,” The review of financial studies, Vol. 15, No. 1, pp. 35-64.

[28] Rendu, J.M., 2002, “Geostatistical simulations for risk assessment and decision making: the mining industry perspective,” International Journal of Surface Mining, Reclamation and Environment, Vol. 16, pp. 122-133.

[29] Schodde, R., 2003, “Long term trends in exploration and the likely future of the Australian Exploration Industry,” AusIMM Technical Meeting, Melbourne.

[30] Smith, J. and McCardle, K., 1998, “Valuing Oil Properties: Integrating Option Pricing and Decision Analysis Approaches,” Operations Research, Vol. 46, No. 2, pp. 198-217.

[31] Smith, J.E. and Nau, R.F., 1995, “Valuing risky projects: Option pricing theory and decision analysis,” Management Science, Vol. 41, pp. 795-816.

[32] Steffens, P.R. and Douglas, E.J., 2007, “Valuing technology investments: use real options thinking but forget real options valuation,” International Journal of Technoentrepreneurship, Vol. 1, No. 1, pp. 58-77.

[33] Topal, E., 2008, “Evaluation of a mining project using Discounted Cash Flow analysis, Decision Tree analysis, Monte Carlo Simulation and Real Options using an example,” International Journal of Mining and Mineral Engineering, Vol. 1, No. 1, pp. 62-76.

[34] Trigeorgis, L., 1999, Real Options: A Primer, Kluwer Academic Publishers, Boston, USA.

Journal of the Korean Society of Mineral and Energy Resources Engineers ISSN:2288-0291(Print) 2288-2790(Online) 한국자원공학회지

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