A fuzzy approach for R\&D compound option valuation

DOI10.1016/J.FSS.2016.10.013zbMATH Open1368.91169OpenAlexW2533251550MaRDI QIDQ2013837FDOQ2013837

Authors: Marta Biancardi, Giovanni Villani 

Publication date: 9 August 2017

Published in: Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.fss.2016.10.013

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zbMATH Keywords

real optionfuzzy analysisR\&D project valuation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50) Financial applications of other theories (91G80)

Cites Work

• Fuzzy sets as a basis for a theory of possibility
• Fuzzy random variables
• The three semantics of fuzzy sets
• Option price sensitivities through fuzzy numbers
• A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty
• A fuzzy approach to R{\&}D project portfolio selection
• Investment and the Valuation of Firms When There is an Option to Shut Down
• A fuzzy approach to real option valuation
• A fuzzy pay-off method for real option valuation

Cited In (7)

• Valuation of forward contract price in energy markets described by a fuzzy-stochastic model and mathematical algorithms: a case study of the PJM western hub real-time peak market
• Modelling and computation for the valuation of two-period \textit{R}\&\textit{D} projects by option games
• Fuzzy multiattribute evaluation of R&D projects using a real options valuation model
• Cooperative R\&D investment decisions: a fuzzy real option approach
• Valuation of R\&D sequential exchange options using Monte Carlo approach
• Fuzzy optimization of real options valuation for multi-phase R\&D project
• Possibilistic fuzzy pay-off method for real option valuation with application to research and development investment analysis

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