옵션가격결정법을 통한 농업소득안정계정의 가치평가

• 영문명: Evaluation of Korean Agricultural Income Stabilization Account by Option Pricing Method
• 발행기관: 개인저작물
• 저자명: 양승룡 이명헌
• 간행물 정보: 『개인저작물 - 사회』제46권 제1호, 123~147쪽, 전체 25쪽
• 주제분류: 사회과학 > 개인저작물
• 파일형태: PDF
• 발행일자: 2005.03.01

영문 초록

This paper calculates the value of the agricultural income stabilization scheme the introduction of which is being considered by the government by applying the option pricing method. Based on a general formulation which accommodates the main policy variables of the scheme(the two different self financing ratio for the farmeres, the threshold income level between the two raios, and the required deposit), the option value is calculated by parametric and nonparametric approach. The parametric approach assumes a log-normal distribution of the income change ratio. The nonparametric approach utilizes kernel density estimation. The calculation results show that the option value is most high for the farms specialized in vegetables and fruits. The option value is most sensitive to changes in the threshold income level. The option value differs substantially between nonparametric and parametric approach, which calls for a cautious assumption concerning the distribution when a parametric approach is to be used for the calculation of the option value of this scheme.

목차

ABSTRACT

Ⅰ. 서론

Ⅱ. 소득안정계정 제도의 개요

Ⅲ. 소득안정제도의 옵션가치 계산

Ⅳ. 소득안정제도의 옵션가치 계산: 모수적 접근

Ⅴ. 소득안정제도의 옵션가치 계산: 비모수적 접근

Ⅵ. 요약 및 결론

참고문헌

키워드

income stabilization option pricing parametric nonparametric