Pricing R&D option with combining randomness and fuzziness

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

Volumn 4114 LNAI - II, Issue , 2006, Pages 798-808

  Zhang, Jinliang ^a   Du, Huibin ^a   Tang, Wansheng ^a  

^a TIANJIN UNIVERSITY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

AMPLITUDE MODULATION; INVESTMENTS; PROJECT MANAGEMENT; RANDOM PROCESSES; STOCHASTIC CONTROL SYSTEMS;

FUZZY VARIABLES; RANDOM FUZZY THEORY;

FUZZY SETS;

EID: 33749565218     PISSN: 03029743     EISSN: 16113349     Source Type: Book Series    
DOI: 10.1007/978-3-540-37275-2_100     Document Type: Conference Paper

References (15)

1. Pennings, E., Lint, O.: The Option Value of Advanced R&D. European Journal of Operational Research. 103 (1997) 83-94
2. Black, F., Scholes, M.: The Pricing of Options and Corporate Liabilities. Journal of Political Economy. 81 (1973) 637-654
3. Nichols, A.: Scientific Management at Merck. Harvard Business Review. 72 (1994) 89-99
4. Carlsson, C., Fuller, R.: A Fuzzy Approach to Real Option Valuation. Fuzzy Sets and Systems. 139 (2003) 297-312
5. Merton, C.: Option Pricing When Underlying Stock Returns Are Discontinuous. Journal of Financial Economics. 3 (1976) 125-144
6. Baldwin, Y., Meyer, F.: Liquidity Preference under Uncertainty: A Model of Dynamic Investment in Illiquid Opportunities. Journal of Finacial Economics. 7 (1979) 347-374
7. Zmeškal, Z.: Application of the Fuzzy-Stochastic Methodology to Appraising the Firm Value as a European Call Option. European Journal of Operational Research. 135 (2001) 303-310
8. Majd, S., Pindyck, S.: Time to Build, Option Value, and Investment Decisions. Journal of Industrial Economics. 18 (1987) 7-27
9. Cox, C., Ross, A.: The Valuation of Options for Alternative Stochastic Processes. Journal of Financial Economics. 3 (1976) 145-166
10. Nahmias, S.: Fuzzy Variables. Fuzzy Sets and Systems. 1 (1978) 97-110
11. Liu, B.: Uncertainty Theory: An Introduction to Its Axiomatic Foundations. Springer-Verlag, Berlin. (2004)
12. Liu, B., Liu, Y.: Expected Value of Fuzzy Variable and Fuzzy Expected Value Model. IEEE Transactions on Fuzzy Systems. 10 (2002) 445-450
13. Liu, B.: Theory and Practice of Uncertain Programming. Phisica-Verlag, Heidelberg. (2002)
14. Liu, Y., Liu, B.: Expected Value Operator of Random Fuzzy Variable and Random Fuzzy Expected Value Models. International Journal of Uncertainty Fuzziness & Knowledge-Based Systems. 11 (2003) 195-215
15. Liu, B., Iwamura, K.: Chance Constrained Programming with Fuzzy Parameters. Fuzzy Sets and Systems. 94 (1998) 227-237