A fuzzy approach for R\&D compound option valuation

DOI10.1016/J.FSS.2016.10.013MaRDI QIDQ2013837zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

fuzzy analysisR\&D project valuationreal option

Mathematics Subject Classification ID

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

Recommendations

• Fuzzy optimization of real options valuation for multi-phase R\&D project
• A fuzzy approach to R{\&}D project portfolio selection
• Fuzzy multiattribute evaluation of R&D projects using a real options valuation model
• Possibilistic fuzzy pay-off method for real option valuation with application to research and development investment analysis
• Valuation of R\&D sequential exchange options using Monte Carlo approach

Cites work

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

Cited in

(8)

• Valuation of R\&D sequential exchange options using Monte Carlo approach
• Possibilistic fuzzy pay-off method for real option valuation with application to research and development investment analysis
• Fuzzy multiattribute evaluation of R&D projects using a real options valuation model
• Fuzzy optimization of real options valuation for multi-phase R\&D project
• Modelling and computation for the valuation of two-period \textit{R}\&\textit{D} projects by option games
• 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
• Cooperative R\&D investment decisions: a fuzzy real option approach
• Valuation of R\&D projects of new energy vehicles based on generalized mixed sub-fractional Brownian motion under fuzzy environment

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