Granular fuzzy pay-off method for real option valuation

Francisco Cabrerizo*, Markku Heikkilä, Jozsef Mezei, Morente-Molinera Juan Antonio, Herrera-Viedma Enrique, Christer Carlsson

*Tämän työn vastaava kirjoittaja

    Tutkimustuotos: LehtiartikkeliArtikkeliTieteellinenvertaisarvioitu

    1 Sitaatiot (Scopus)
    46 Lataukset (Pure)

    Abstrakti

    In the last decade, the fuzzy pay-off method has emerged as a widely used alternative approach for real option valuation thanks to its simplicity that makes it easily approachable by practitioners from various application domains. In this study, a new direction for real option valuation is pursued by proposing a granular fuzzy pay-off method. We motivate the proposal by discussing how the extension of the original approach with granular representation can further improve the fuzzy pay-off method. The design of the granular fuzzy pay-off method is founded on the principle of justifiable granularity, which in turn relies on numeric data to build information granules that are semantically sound and experimentally justified. To illustrate the method, a case study in R&D investment in manufacturing is worked out. The extended granular fuzzy pay-off method improves performance and usability in cases with uncertainty.

    AlkuperäiskieliEnglanti
    Artikkeli113597
    Sivut
    JulkaisuExpert Systems with Applications
    Vuosikerta159
    DOI - pysyväislinkit
    TilaJulkaistu - 30 marrask. 2020
    OKM-julkaisutyyppiA1 Julkaistu artikkeli, soviteltu

    Keywords

    • Real options
    • Fuzzy pay-off method
    • Granular computing

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