![]() Some commonly used models to price options include the Black-Scholes model, binomial tree, and Monte-Carlo simulation method.Increasing an option's maturity or implied volatility will increase the price of the option, holding all else constant.The primary goal of option pricing theory is to calculate the probability that an option will be exercised, or be in-the-money (ITM), at expiration.Option pricing theory is a probabilistic approach to assigning a value to an options contract.European Journal of Operational Research, 135(2): 303-310. Application of the fuzzy-stochastic methodology to appraising the firm value as a European call option. European Journal of Operational Research, 145(1): 221-229. The valuation of European options in uncertain environment. International Journal of Intelligent Systems, 23: 1153-1176. Fuzzy Multiattribute Evaluation of R&D Projects Using a Real Options Valuation Model. International Journal of Business Research, 3(1): 41-62. A Methodology and Model for Qualitative Business Planning. Journal of Economic Literature, 29: 1110-1148. Irreversibility, Uncertainty, and Investment. A model for pricing an option with a fuzzy payoff. Gray (Ed.), Tutorials in Operations Research: Informs. Business Engineering: A Practical Approach to Valuing High-Risk, High-Return Projects Using Real Options. Journal of Applied Corporate Finance, 19(2): 95-104. A Practical Method for Valuing Real Options: The Boeing Approach. European Real Options: An Intuitive Algorithm for the Black Scholes Formula. European Real Options: An Intuitive Algorithm for the Black-Scholes Formula.ĭatar, V. Journal of Financial Economics, 7: 229-263.ĭatar, V. Unpublished Dissertation/Thesis, Turku Centre for COmputer Science, Turku.Ĭox, J., Ross, S., & Rubinstein, M. Giga-Investments: Modelling the Valuation of Very Large Industrial Real Investments. Fuzzy Black and Scholes Real Option Pricing. Paper presented at the ICCS 2007.Ĭollan, M., Carlsson, C., & Majlender, P. Fuzzy Real Option Analysis for IT Investment in Nuclear Power Station. On Fuzzy Real Option Valuation Paper presented at the 9th Annual International Conference on Real Options, Paris, France.Ĭhen, T., Zhang, J., Lin, S., & Yu, B. A Fuzzy Approach to Real Option Valuation. On possibilistic mean value and variance of fuzzy numbers. Fuzzy Sets and Systems, 21: 257-273.Ĭarlsson, C. Journal of Financial Economics, 4(4): 323-338.īuckley, J. ![]() Journal of Political Economy, 81(May-June ): 637-659.īoyle, P. The Pricing of Options and Corporate Liabilities. G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice Investment DecisionsĬ - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methodsīellman, R. Real Option Valuation Fuzzy Real Options Fuzzy Numbers Item Type:Ī Fuzzy Pay-off Method for Real Option Valuation The paper also presents the use of number of different types of fuzzy numbers with the method and an application of the new method in an industry setting. The method is intuitive to understand and far less complicated than any previous real option valuation model to date. 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. Recent advances in modeling and analysis methods have made real option valuation easier to understand and to implement. Real option valuation is, however, often found to be difficult to understand and to implement due to the quite complex mathematics involved. Real Options analysis offers interesting insights on the value of assets and on the profitability of investments, which has made real options a growing field of academic research and practical application.
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