کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4943949 | 1437725 | 2017 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A fuzzy approach for R&D compound option valuation
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موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
هوش مصنوعی
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چکیده انگلیسی
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 δv. Therefore, we present a γ-level of fuzzy prices of CAEO and the fuzzy mean value of CAEO using a pessimistic-optimistic weight.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Fuzzy Sets and Systems - Volume 310, 1 March 2017, Pages 108-121
Journal: Fuzzy Sets and Systems - Volume 310, 1 March 2017, Pages 108-121
نویسندگان
Marta Biancardi, Giovanni Villani,