A fuzzy model for sensitivity analysis in real options

Agliardi, Elettra ; Guerra, Maria Letizia ; Stefanini, Luciano (2008) A fuzzy model for sensitivity analysis in real options. Bologna: Dipartimento di Scienze economiche DSE, p. 31. DOI 10.6092/unibo/amsacta/4604. In: Quaderni - Working Paper DSE (643). ISSN 2282-6483.
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Abstract

This paper adopts a promising concept of uncertainty, incorporating both stochastic processes and fuzzy theory to capture the somewhat vague and imprecise ideas the manager has about the future expected cash flows, the profitability of the project, the costs of the project and many other variables involved in an investment decision. Thus, uncertainty in real option valuation can be faced introducing fuzziness in the fundamental items of the classical approach. In particular, three examples of real options are examined and the computational experiments are performed. It is shown that fuzziness can play the role of a sensitivity analysis of the real option value with respect to the key decisional variables.

Abstract
Document type
Monograph (Working Paper)
Creators
CreatorsAffiliationORCID
Agliardi, Elettra
Guerra, Maria Letizia
Stefanini, Luciano
Keywords
Fuzzy Numbers, Parametric Representation, Real Op- tions
Subjects
ISSN
2282-6483
DOI
Deposit date
15 Feb 2016 13:59
Last modified
15 Feb 2016 13:59
URI

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