Investment project valuation based on a fuzzy binomial approach

Information Sciences

Volumn 180, Issue 11, 2010, Pages 2124-2133

  Liao, Shu Hsien ^a   Ho, Shiu Hwei ^a,b  

^a TAMKANG UNIVERSITY   (Taiwan)

^b TECHNOLOGY AND SCIENCE INSTITUTE OF NORTHERN TAIWAN   (Taiwan)

Author keywords

Flexibility; Fuzzy numbers; Project valuation; Real options; Uncertainty

Indexed keywords

CASH FLOW; DISCOUNTED CASH FLOW; DOWNSIDE RISKS; FUZZY NUMBERS; INTERNAL RATE OF RETURN; INVESTMENT PROJECTS; MANAGERIAL FLEXIBILITY; MEAN VALUES; NET PRESENT VALUE; POSSIBILISTIC; PROJECT VALUATION; REAL OPTIONS; STRATEGIC INVESTMENTS;

EARNINGS; FUZZY RULES; FUZZY SETS; INVESTMENTS; PROFITABILITY; UNCERTAINTY ANALYSIS;

DISPERSION COMPENSATION;

EID: 77649343040     PISSN: 00200255     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ins.2010.02.012     Document Type: Article

References (34)

1. Black F., and Scholes M. The pricing of options and corporate liabilities. Journal of Political Economy 81 (1973) 637-659
2. Bodjanova S. Median value and median interval of a fuzzy number. Information Sciences 172 (2005) 73-89
3. Bowe M., and Lee D.L. Project evaluation in the presence of multiple embedded real options: evidence from the Taiwan High-Speed Rail Project. Journal of Asian Economics 15 (2004) 71-98
4. Bowman E.H., and Moskowitz G.T. Real options analysis and strategic decision making. Organization Science 12 (2001) 772-777
5. Carlsson C., and Fuller R. On possibilistic mean value and variance of fuzzy numbers. Fuzzy Sets and Systems 122 (2001) 315-326
6. Carlsson C., and Fuller R. A fuzzy approach to real option valuation. Fuzzy Sets and Systems 139 (2003) 297-312
7. Carlsson C., Fuller R., Heikkila M., and Majlender P. A fuzzy approach to R&D project portfolio selection. International Journal of Approximate Reasoning 44 (2007) 93-105
8. Chen T., Zhang J., and Lai K.K. An integrated real options evaluating model for information technology projects under multiple risks. International Journal of Project Management 27 (2009) 776-786
9. Chiu C.Y., and Park C.S. Fuzzy cash flow analysis using present worth criterion. The Engineering Economist 39 (1994) 113-137
10. Cox J., Ross S., and Rubinstein M. Option pricing: a simplified approach. Journal of Financial Economics 7 (1979) 229-263
11. Dixit A.K., and Pindyck R.S. The option approach to capital investment. Harvard Business Review 73 (1995) 105-115
12. Fuller R., and Majlender P. On weighted possibilistic mean and variance of fuzzy numbers. Fuzzy Sets and Systems 136 (2003) 363-374
13. Hahn W.J., and Dyer J.S. Discrete time modeling of mean-reverting stochastic processes for real option valuation. European Journal of Operational Research 184 (2008) 534-548
14. Kahraman C., Ruan D., and Tolga E. Capital budgeting techniques using discounted fuzzy versus probabilistic cash flows. Information Sciences 142 (2002) 57-76
15. Lee C.F., Tzeng G.H., and Wang S.Y. A new application of fuzzy set theory to the Black-Scholes option pricing model. Expert Systems with Applications 29 (2005) 330-342
16. Liu F.Y. Pricing currency options based on fuzzy techniques. European Journal of Operational Research 193 (2009) 530-540
17. Luehrman T.A. Investment opportunities as real options: getting started on the numbers. Harvard Business Review July-August (1998) 51-67
18. Miller L., and Bertus M. License valuation in the aerospace industry: a real options approach. Review of Financial Economics 14 (2005) 225-239
19. Muzzioli S., and Reynaerts H. American option pricing with imprecise risk-neutral probabilities. International Journal of Approximate Reasoning 49 (2008) 140-147
20. Muzzioli S., and Torricelli C. A multiperiod binomial model for pricing options in a vague world. Journal of Economic Dynamics and Control 28 (2004) 861-887
21. Reyck B.D., Degraeve Z., and Vandenborre R. Project options valuation with net present value and decision tree analysis. European Journal of Operational Research 184 (2008) 341-355
22. Sheen J.N. Fuzzy financial profitability analyses of demand side management alternatives from participant perspective. Information Sciences 169 (2005) 329-364
23. Smit H., and Trigeorgis L. Real options and games: competition, alliances and other applications of valuation and strategy. Review of Financial Economics 15 (2006) 95-112
24. Smit H., and Trigeorgis L. Strategic options and games in analyzing dynamic technology investments. Long Range Planning 40 (2007) 84-114
25. Thiagarajah K., Appadoo S.S., and Thavaneswaran A. Option valuation model with adaptive fuzzy numbers. Computers and Mathematics with Applications 53 (2007) 831-841
26. Trigeorgis L. Real options and interactions with financial flexibility. Financial Management 22 (1993) 202-224
27. Wang J., and Hwang W.L. A fuzzy set approach for R&D portfolio selection using a real options valuation model. Omega 35 (2007) 247-257
28. Wu H.C. Pricing European options based on the fuzzy pattern of Black-Scholes formula. Computers and Operations Research 31 (2004) 1069-1081
29. Wu L.C., Ong C.S., and Hsu Y.W. Active ERP implementation management: a real options perspective. The Journal of Systems and Software 81 (2008) 1039-1050
30. Yeo K.T., and Qiu F. The value of managerial flexibility - a real option approach to investment evaluation. International Journal of Project Management 21 (2003) 243-250
31. Yoshida Y., Yasuda M., Nakagami J., and Kurano M. A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty. Fuzzy Sets and Systems 157 (2006) 2614-2626
32. Zadeh L.A. Fuzzy sets as a basis for a theory of possibility. Fuzzy Sets and Systems Suppl. 100 (1999) 9-34
33. Zadeh L.A. Toward a generalized theory of uncertainty (GTU) - an outline. Information Sciences 172 (2005) 1-40
34. Zadeh L.A. Is there a need for fuzzy logic?. Information Sciences 178 (2008) 2751-2779