A fuzzy approach for R&D compound option valuation

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• 作者：Marta Biancardi^a ; ^{marta.biancardi@unifg.it} ; Giovanni Villani^b ; ^{giovanni.villani@uniba.it}
• 关键词：Fuzzy analysis ; Real option ; R&D project valuation
• 刊名：Fuzzy Sets and Systems
• 出版年：2017
• 出版时间：1 March 2017
• 年：2017
• 卷：310
• 期：Complete
• 页码：108-121
• 全文大小：344 K
• 卷排序：310

文摘

This paper is devoted to propose a random fuzzy methodology in order to value R&D investments combining the stochastic approach with the fuzzy analysis. As it is commonly known, an R&D project is characterized by a sequential phase in which each phase gives to the manager the opportunity to realize or not the investment. So, in real option world, this opportunity can be analyzed as a compound American exchange option (CAEO). In this paper, the fuzzy approach is used to model two important parameters of R&D evaluation: the volatility of asset V   and the opportunity costs of deferring project δvδv. Therefore, we present a γ-level of fuzzy prices of CAEO and the fuzzy mean value of CAEO using a pessimistic–optimistic weight.