A fuzzy pay-off method for real option valuation

Mikael Collan, Robert Fullér, József Mezei

Research output: Chapter in Book/Report/Conference proceedingConference contribution

4 Citations (Scopus)

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 trinagular and trapezoidal fuzzy numbers with the method.

Original languageEnglish
Title of host publication2009 International Conference on Business Intelligence and Financial Engineering, BIFE 2009
Pages165-169
Number of pages5
DOIs
Publication statusPublished - Nov 16 2009
Event2009 International Conference on Business Intelligence and Financial Engineering, BIFE 2009 - Beijing, China
Duration: Jul 24 2009Jul 26 2009

Publication series

Name2009 International Conference on Business Intelligence and Financial Engineering, BIFE 2009

Other

Other2009 International Conference on Business Intelligence and Financial Engineering, BIFE 2009
CountryChina
CityBeijing
Period7/24/097/26/09

Keywords

  • Fuzzy numbers
  • Fuzzy real options
  • Real option valuation

ASJC Scopus subject areas

  • Accounting
  • Artificial Intelligence
  • Finance

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  • Cite this

    Collan, M., Fullér, R., & Mezei, J. (2009). A fuzzy pay-off method for real option valuation. In 2009 International Conference on Business Intelligence and Financial Engineering, BIFE 2009 (pp. 165-169). [5208910] (2009 International Conference on Business Intelligence and Financial Engineering, BIFE 2009). https://doi.org/10.1109/BIFE.2009.47