A4 Conference proceedings

Real Option Analysis with Interval-Valued Fuzzy Numbers and the Fuzzy Pay-Off Method

LUT Authors / Editors

Collan, Mikael (Finance and Business Analytics (FBA))

Mezei, Jozsef (Business Studies)

Luukka, Pasi (Finance and Business Analytics (FBA))

Publication Details

Authors: Mezei Jozsef, Collan Mikael, Luukka Pasi

Editors of book: Kacprzyk, J.; Szmidt, E.; Zadrożny, S.; Atanassov, K.; Krawczak, M.

Edition name or number: 641

Publisher: Springer Verlag (Germany)

Publishing place: Cham

Publication year: 2017

Language: English

Related Journal or Series Information: Advances in Intelligent Systems and Computing

Title of parent publication: Advances in Fuzzy Logic and Technology 2017. IWIFSGN 2017, EUSFLAT 2017

Volume number: 641

Start page: 509

End page: 520

Number of pages: 12

eISBN: 978-3-319-66830-7

ISSN: 2194-5357

JUFO-Level of this publication: 1

DOI: http://dx.doi.org/10.1007/978-3-319-66830-7_46

Permanent website address: https://link.springer.com/chapter/10.1007/978-3-319-66830-7_46

Open Access: Not an Open Access publication

Abstract

This paper presents an extension of the fuzzy pay-off method for real
option valuation using interval-valued fuzzy numbers. To account for a
higher level of imprecision that can be present in many applications, we
propose to use triangular upper and lower membership functions as the
basis of real option analysis. In the paper, analytical formulas are
derived for the triangular case by calculating the possibilistic mean of
truncated interval-valued triangular fuzzy numbers. A numerical example
of a cash-flow analysis is presented to illustrate the use of the
proposed approach.

Research Areas

Finance

Management of Technology and Innovation

Strategy and Management

LUT Focus Areas

Digitalisation and data science

Sustainable business and entrepreneurship

Last updated on 2018-19-10 at 07:55