Comparison of the Datar-Mathews method and the fuzzy pay-off method through numerical results (Q2668585)
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English | Comparison of the Datar-Mathews method and the fuzzy pay-off method through numerical results |
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Comparison of the Datar-Mathews method and the fuzzy pay-off method through numerical results (English)
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7 March 2022
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Summary: The paper compares numerically the results from two real option valuation methods, the Datar-Mathews method and the fuzzy pay-off method. Datar-Mathews method is based on using Monte Carlo simulation within a probabilistic valuation framework, while the fuzzy pay-off method relies on modeling the real option valuation by using fuzzy numbers in a possibilistic space. The results show that real option valuation results from the two methods seem to be consistent with each other. The fuzzy pay-off method is more robust and is also usable when not enough information is available for a construction of a simulation model.
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