Generalised soft multi-mode real options model (fuzzy-stochastic approach)
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F22%3A10248499" target="_blank" >RIV/61989100:27510/22:10248499 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S0957417421016791?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0957417421016791?via%3Dihub</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.eswa.2021.116388" target="_blank" >10.1016/j.eswa.2021.116388</a>
Alternative languages
Result language
angličtina
Original language name
Generalised soft multi-mode real options model (fuzzy-stochastic approach)
Original language description
Researchers and practitioners are dealing intensively with the real option valuation. One of the generalised types is reversible the multi-mode American real options. These options are solved mainly by applying the stochastic discrete binomial models. Uncertainty is a typical feature of valuation, and two basic types of representation are distinguished: risk (stochastic) and imprecision (fuzzy). The fuzzy-stochastic models indicate the generalised real options modelling containing both aspects. The objective of the paper is to develop and apply the generalised fuzzy-stochastic multi-mode real options model. This model is based on fuzzy numbers, the discrete binomial model, and the decomposition principle. Input data, particularly underlying cash-flows, are given by fuzzy-random numbers; fuzzy numbers give terminal values, risk-free rate, switching cost. Furthermore, assumptions and computation procedures are also described. The proposed optimisation problem is used for the fuzzy multi-mode real option value calculation. Results are compared with sub-problems, crisp-stochastic multi-modes real options and partial fuzzy-stochastic multi-mode real options models. A stylised illustrative operational flexibility example of comparing the fuzzy-stochastic multi-mode real options models is presented and discussed. The model can serve to valuation, decision-making, generalised sensitivity analysis and control under a fuzzy-stochastic environment.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50200 - Economics and Business
Result continuities
Project
<a href="/en/project/GA18-13951S" target="_blank" >GA18-13951S: New approaches to financial time series modelling based on soft computing</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Expert Systems with Applications
ISSN
0957-4174
e-ISSN
1873-6793
Volume of the periodical
192
Issue of the periodical within the volume
15 April 2022
Country of publishing house
GB - UNITED KINGDOM
Number of pages
9
Pages from-to
1-9
UT code for WoS article
000736288000001
EID of the result in the Scopus database
2-s2.0-85122448724