- Tytuł:
- The valuation of real options in a hybrid environment
- Autorzy:
- Rębiasz, Bogdan
- Powiązania:
- https://bibliotekanauki.pl/articles/406308.pdf
- Data publikacji:
- 2019
- Wydawca:
- Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
- Tematy:
-
switch options
fuzzy sets
random fuzzy sets
investment decision
Monte Carlo simulation
zbiory rozmyte
decyzja inwestycyjna
Symulacja Monte Carlo - Opis:
- The aim of this paper is to present the possibilities and purposefulness of the application of fuzzy set theory to the valuation of real options. Owing to temporal fluctuations in the market, some input parameters in a model of a real option cannot always be expressed in a precise sense. Therefore, it is natural to consider them as a fuzzy numbers. Such an approach allows us to keep more information about the possible value of real options. A hybrid (fuzzy-stochastic) model for valuing a switch option is presented. Under these assumptions, the value of a switch option will be a fuzzy random set. This article assesses the incremental benefit of product switch options in steel plant projects. Such options are valued by Monte Carlo simulation and modelling the prices of and demand for steel products using fuzzy geometric Brownian motion. Finally, the value of a product switch option is defined by the upper and lower probability distribution function.
- Źródło:
-
Operations Research and Decisions; 2019, 29, 1; 97-119
2081-8858
2391-6060 - Pojawia się w:
- Operations Research and Decisions
- Dostawca treści:
- Biblioteka Nauki
Artykuł