This paper is devoted to propose a random fuzzy methodology in order to value R&D investments combining the stochastic approach with the fuzzy analysis. As it is commonly known, an R&D project is characterized by a sequential phase in which each phase gives to the manager the opportunity to realize or not the investment. So, in real option world, this opportunity can be analyzed as a compound American exchange option (CAEO). In this paper, the fuzzy approach is used to model two important parameters of R&D evaluation: the volatility of asset V and the opportunity costs of deferring project δvδv. Therefore, we present a γ-level of fuzzy prices of CAEO and the fuzzy mean value of CAEO using a pessimistic–optimistic weight.

A fuzzy approach for R&D compound option valuation

Biancardi, Marta;VILLANI, GIOVANNI
2017-01-01

Abstract

This paper is devoted to propose a random fuzzy methodology in order to value R&D investments combining the stochastic approach with the fuzzy analysis. As it is commonly known, an R&D project is characterized by a sequential phase in which each phase gives to the manager the opportunity to realize or not the investment. So, in real option world, this opportunity can be analyzed as a compound American exchange option (CAEO). In this paper, the fuzzy approach is used to model two important parameters of R&D evaluation: the volatility of asset V and the opportunity costs of deferring project δvδv. Therefore, we present a γ-level of fuzzy prices of CAEO and the fuzzy mean value of CAEO using a pessimistic–optimistic weight.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11586/181207
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