Generalised soft multi-mode real options model (fuzzy-stochastic approach)

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Generalised soft multi-mode real options model (fuzzy-stochastic approach)

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Generalised soft multi-mode real options model (fuzzy-stochastic approach)

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50200 - Economics and Business

Projekt

<a href="/cs/project/GA18-13951S" target="_blank" >GA18-13951S: Nové přístupy k modelování finančních časových řad pomocí soft-computingu</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2022

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Expert Systems with Applications

ISSN

0957-4174

e-ISSN

1873-6793

Svazek periodika

192

Číslo periodika v rámci svazku

15 April 2022

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

9

Strana od-do

1-9

Kód UT WoS článku

000736288000001

EID výsledku v databázi Scopus

2-s2.0-85122448724