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A Fuzzy Pay-Off Method for Real Option Valuation

Mikael Collan, Robert Fullér, József Mezei, A Fuzzy Pay-Off Method for Real Option Valuation. In: Proceedings of the The Second International Conference on Business Intelligence and Financial Engineering (BIFE 2009), 165-169, 2009.

Abstract:

This paper presents a new method (fuzzy pay-off method) for real option valuation using fuzzy numbers that is based on findings from earlier real option valuation methods and from fuzzy real option valuation. The method is intuitive to understand and far less complicated than any previous real option valuation model to date. The paper also presents the use of trinagular and trapezoidal fuzzy numbers with the method.

BibTeX entry:

@INPROCEEDINGS{inpCoFuMe09a,
  title = {A Fuzzy Pay-Off Method for Real Option Valuation},
  booktitle = {Proceedings of the The Second International Conference on Business Intelligence and Financial Engineering (BIFE 2009)},
  author = {Collan, Mikael and Fullér, Robert and Mezei, József},
  pages = {165-169},
  year = {2009},
}

Belongs to TUCS Research Unit(s): Other

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