Improved real option analysis based on fuzzy random variables

Bo Wang, Shu Ming Wang, Junzo Watada

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

    2 Citations (Scopus)

    Abstract

    The objective of this paper is to build a real options model under hybrid uncertain environment of randomness and fuzziness. In order to well describe the real uncertain situation, we utilize fuzzy random variable as a tool to characterize future cash flows, and propose a new real options analysis approach by combing binomial lattice-based model with fuzzy random variable, as named fuzzy random real options analysis (FR-ROA). Then the proposed FR-ROA is applied to an R&D project problem under fuzzy random environment, and the relations of FR-ROA with the classical ROA and the fuzzy ROA are explicitly discussed, respectively.

    Original languageEnglish
    Title of host publicationProceedings of the 2009 International Conference on Machine Learning and Cybernetics
    Pages694-699
    Number of pages6
    Volume2
    DOIs
    Publication statusPublished - 2009
    Event2009 International Conference on Machine Learning and Cybernetics - Baoding
    Duration: 2009 Jul 122009 Jul 15

    Other

    Other2009 International Conference on Machine Learning and Cybernetics
    CityBaoding
    Period09/7/1209/7/15

    Keywords

    • Binomial lattice-based model
    • Future cash flow
    • Fuzzy random variable
    • Real options analysis

    ASJC Scopus subject areas

    • Artificial Intelligence
    • Computer Vision and Pattern Recognition
    • Software
    • Control and Systems Engineering

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  • Cite this

    Wang, B., Wang, S. M., & Watada, J. (2009). Improved real option analysis based on fuzzy random variables. In Proceedings of the 2009 International Conference on Machine Learning and Cybernetics (Vol. 2, pp. 694-699). [5212448] https://doi.org/10.1109/ICMLC.2009.5212448