Practical possibilistic fuzzy pay-off method for real option valuation

IF 3.2 1区数学 Q2 COMPUTER SCIENCE, THEORY & METHODS

Fuzzy Sets and Systems Pub Date : 2024-07-08 DOI:10.1016/j.fss.2024.109072

Jan Stoklasa , Mikael Collan , Pasi Luukka

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引用次数: 0

Abstract

This paper describes a set of proposed additions to the recently introduced possibilistic fuzzy pay-off method for real option valuation that enhances the practical usability of the method. The additions are focused on the practical usability of the method and concentrate on emphasizing the consideration of the downside-risk found in projects. Technically the additions are based on using a novel interpretation of the possibilistic mean as a proxy respectively for the weight of the downside and the upside of a possibility distribution in the context of project profitability. This interpretation of the possibilistic mean is a new theoretical contribution.

The proposed new method-variant, called the “practical possibilistic fuzzy pay-off method for real option valuation”, can effectively distinguish between projects with an identical upside and non-identical downsides and allows for a more finance-theoretically comprehensive consideration of situations, where the circumstances surrounding the downside risk of a project change. Changes in the downside are reflected in the real option value. The proposed changes constitute the first variant of the possibilistic fuzzy pay-off method for real option valuation and they remarkably increase the practical usability of the method.

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用于实物期权估值的实用可能性模糊报酬法

本文介绍了对最近推出的用于实物期权估价的可能性模糊报酬法的一系列补充建议，以提高该方法的实际可用性。这些增补的重点是该方法的实际可用性，并着重强调对项目中发现的下行风险的考虑。在技术上，新增内容基于对可能性平均值的一种新的解释，即在项目盈利能力的背景下，将可能性分布的下行权重和上行权重分别作为替代值。这种对可能性均值的解释是一种新的理论贡献。所提出的新方法变体被称为 "用于实物期权估值的实用可能性模糊报酬法"，它能有效区分具有相同上行和非相同下行的项目，并能从金融理论上更全面地考虑项目下行风险发生变化的情况。下行风险的变化反映在实际期权价值中。所提出的修改构成了用于实物期权估值的可能性模糊收益法的第一种变体，显著提高了该方法的实际可用性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Fuzzy Sets and Systems 数学-计算机：理论方法

CiteScore

6.50

自引率

17.90%

发文量

321

审稿时长

6.1 months

期刊介绍： Since its launching in 1978, the journal Fuzzy Sets and Systems has been devoted to the international advancement of the theory and application of fuzzy sets and systems. The theory of fuzzy sets now encompasses a well organized corpus of basic notions including (and not restricted to) aggregation operations, a generalized theory of relations, specific measures of information content, a calculus of fuzzy numbers. Fuzzy sets are also the cornerstone of a non-additive uncertainty theory, namely possibility theory, and of a versatile tool for both linguistic and numerical modeling: fuzzy rule-based systems. Numerous works now combine fuzzy concepts with other scientific disciplines as well as modern technologies. In mathematics fuzzy sets have triggered new research topics in connection with category theory, topology, algebra, analysis. Fuzzy sets are also part of a recent trend in the study of generalized measures and integrals, and are combined with statistical methods. Furthermore, fuzzy sets have strong logical underpinnings in the tradition of many-valued logics.