Real options analysis based on fuzzy random variables

Bo Wang, Shuming Wang, Junzo Watada

    Research output: Contribution to journalArticle

    8 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
    Pages (from-to)1689-1698
    Number of pages10
    JournalInternational Journal of Innovative Computing, Information and Control
    Volume6
    Issue number4
    Publication statusPublished - 2010 Apr

    Keywords

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

    ASJC Scopus subject areas

    • Computational Theory and Mathematics
    • Information Systems
    • Software
    • Theoretical Computer Science

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