농업경제연구

Korean Agricultural Economics Association

제목 실물옵션가치를 이용한 양파의 최적 저장시기 분석
저자 김민정, 김현석
발행정보 58권 3호 (2017년 9월) 페이지 45~62
키워드
초록 This paper determines a real option value from waiting to sell onion where storage company’s profit is optimal. To determine a real option value, first, a variance ratio test is conducted to test for the existence of mean reversion in onion prices. The results show that price of onon has mean reversion under the 5% significance level. Second, onion’s price process model including mean reversion is estimated. The result shows that mean reversion occurs at a rate of 3.639% weekly. Finally, the cutoff price is determined using estimated price process and a universal lattice model. The optimal cutoff price is 19,600 won in the 2nd week of August. It is about 3,000 won higherthan sample mean price which is 16,512 won. The result indicates that storage companies can receive a higher price when they are waiting to sell onion by 2nd week of August than selling at harvest.
논문파일 KJAE(2017-Vol58No03)-Korean-03.pdf