Generalised soft binomial American real option pricing model (fuzzy-stochastic approach)

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A86076448" target="_blank" >RIV/61989100:27510/10:86076448 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Generalised soft binomial American real option pricing model (fuzzy-stochastic approach)
Original language description
The stochastic discrete binomial models and continuous models are usually applied in option valuation. Valuation of the real American options is solved usually by the numerical procedures. Therefore, binomial model is suitable approach for appraising theoptions of American type. However, there is not in several situations especially in real option methodology application at to disposal input data of required quality. Two aspects of input data uncertainty should be distinguished; risk (stochastic) and vagueness (fuzzy). Traditionally, input data are in a form of real (crisp) numbers or crisp-stochastic distribution function. Therefore, hybrid models, combination of risk and vagueness could be useful approach in option valuation. Generalised hybrid fuzzy-stochastic binomial American real option model under fuzzy numbers (Tnumbers) and Decomposition principle is proposed and described.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
<a href="/en/project/GA402%2F08%2F1234" target="_blank" >GA402/08/1234: Analysis and forecasting of companies and sectors financial performance under flexibility</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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