Title :
A Fuzzy Pay-Off Method for Real Option Valuation
Author :
Collan, Mikael ; Fullér, Robert ; Mezei, József
Author_Institution :
IAMSR, Abo Akademi Univ., Turku, Finland
Abstract :
This paper presents a new method (fuzzy pay-off method) for real option valuation using fuzzy numbers that is based on findings from earlier real option valuation methods and from fuzzy real option valuation. The method is intuitive to understand and far less complicated than any previous real option valuation model to date. The paper also presents the use of triangular and trapezoidal fuzzy numbers with the method.
Keywords :
finance; fuzzy set theory; number theory; financial options; fuzzy pay-off method; fuzzy real option valuation; real option valuation methods; trapezoidal fuzzy numbers; triangular fuzzy numbers; Computer science; Cost accounting; Decision making; Fuzzy sets; Humans; Investments; Monte Carlo methods; Numerical analysis; Probability distribution; Uncertainty; Fuzzy Numbers; Fuzzy Real Options; Real Option Valuation;
Conference_Titel :
Business Intelligence and Financial Engineering, 2009. BIFE '09. International Conference on
Conference_Location :
Beijing
Print_ISBN :
978-0-7695-3705-4
DOI :
10.1109/BIFE.2009.47
