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

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 marraskuuta 2020
OKM-julkaisutyyppiA1 Julkaistu artikkeli, soviteltu

Keywords

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

Sormenjälki

Sukella tutkimusaiheisiin 'Granular fuzzy pay-off method for real option valuation'. Ne muodostavat yhdessä ainutlaatuisen sormenjäljen.

Viittausmuodot