태양광사업에 내재된 실물옵션 가치에 관한 연구: 아주에너지㈜ 사례를 중심으로

Abstract

Companies in the renewable energy industry can rescue new projects, using real options model, which may be rejected otherwise in the process of capital budgeting. This paper analyzes an actual solar power project in order to evaluate whether real options can improve the project’s value to the level of the acceptance point, and demontrates how the strategic option such as the project’s flexibility can be inverted to real options and added to NPV of the projects. In the course of the analysis, the estimation of the volatility implied in option value is the most technically critical step to obtain accurate option values. We estimate the volatility based on simulated future cash flows derived by the Monte Carlo simulation. The paper documents that the growth and abandonment options are margnally important to accept the project which may be rejected otherwise. Our estimation shows that the growth option value is equivalent to KRW 499.65 million (14.11% of the original PV estimate) ,thus turning around the value of the solar project from negative to positive value. Abandonment option and its sentivity analysis, even if having the hypothetical assumption about volatility parameter, show practical implication on the risk controllability of long-term investment decision. It is the first case analysis conducted on solar power business, and offers interesting insight that real options can be extended to various types of projects including the Geen business and the Green finance.