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Real Option Analysis with Interval-Valued Fuzzy Numbers and the Fuzzy Pay-Off Method

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Book cover Advances in Fuzzy Logic and Technology 2017 (EUSFLAT 2017, IWIFSGN 2017)

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 641))

Abstract

This paper presents an extension of the fuzzy pay-off method for real option valuation using interval-valued fuzzy numbers. To account for a higher level of imprecision that can be present in many applications, we propose to use triangular upper and lower membership functions as the basis of real option analysis. In the paper, analytical formulas are derived for the triangular case by calculating the possibilistic mean of truncated interval-valued triangular fuzzy numbers. A numerical example of a cash-flow analysis is presented to illustrate the use of the proposed approach.

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Authors and Affiliations

  1. School of Business and Management, Lappeenranta University of Technology, Lappeenranta, Finland

    József Mezei, Mikael Collan & Pasi Luukka

Authors
  1. József Mezei
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  2. Mikael Collan
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  3. Pasi Luukka
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Corresponding author

Correspondence to József Mezei .

Editor information

Editors and Affiliations

  1. Systems Research Institute, Polish Academy of Sciences, Warsaw, Poland

    Janusz Kacprzyk

  2. Systems Research Institute, Polish Academy of Sciences, Warsaw, Poland

    Eulalia Szmidt

  3. Systems Research Institute, Polish Academy of Sciences, Warsaw, Poland

    Sławomir Zadrożny

  4. Department of Bioinformatics and Mathematical Modelling, Institute of Biophysics and Biomedical Engineering, Bulgarian Academy of Sciences, Sofia, Bulgaria

    Krassimir T. Atanassov

  5. WIT - Warsaw School of Information Technology, Warsaw, Poland

    Maciej Krawczak

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Mezei, J., Collan, M., Luukka, P. (2018). Real Option Analysis with Interval-Valued Fuzzy Numbers and the Fuzzy Pay-Off Method. In: Kacprzyk, J., Szmidt, E., Zadrożny, S., Atanassov, K., Krawczak, M. (eds) Advances in Fuzzy Logic and Technology 2017. EUSFLAT IWIFSGN 2017 2017. Advances in Intelligent Systems and Computing, vol 641. Springer, Cham. https://doi.org/10.1007/978-3-319-66830-7_46

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  • DOI: https://doi.org/10.1007/978-3-319-66830-7_46

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-66829-1

  • Online ISBN: 978-3-319-66830-7

  • eBook Packages: EngineeringEngineering (R0)

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