Improved real option analysis based on fuzzy random variables

Bo Wang; Shu Ming Wang; Junzo Watada

doi:10.1109/ICMLC.2009.5212448

Improved real option analysis based on fuzzy random variables

Bo Wang^*, Shu Ming Wang, Junzo Watada

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

2 Citations (Scopus)

Abstract

The objective of this paper is to build a real options model under hybrid uncertain environment of randomness and fuzziness. In order to well describe the real uncertain situation, we utilize fuzzy random variable as a tool to characterize future cash flows, and propose a new real options analysis approach by combing binomial lattice-based model with fuzzy random variable, as named fuzzy random real options analysis (FR-ROA). Then the proposed FR-ROA is applied to an R&D project problem under fuzzy random environment, and the relations of FR-ROA with the classical ROA and the fuzzy ROA are explicitly discussed, respectively.

Original language	English
Title of host publication	Proceedings of the 2009 International Conference on Machine Learning and Cybernetics
Pages	694-699
Number of pages	6
Volume	2
DOIs	https://doi.org/10.1109/ICMLC.2009.5212448
Publication status	Published - 2009
Event	2009 International Conference on Machine Learning and Cybernetics - Baoding Duration: 2009 Jul 12 → 2009 Jul 15

Other

Other	2009 International Conference on Machine Learning and Cybernetics
City	Baoding
Period	09/7/12 → 09/7/15

Keywords

Binomial lattice-based model
Future cash flow
Fuzzy random variable
Real options analysis

ASJC Scopus subject areas

Artificial Intelligence
Computer Vision and Pattern Recognition
Software
Control and Systems Engineering

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10.1109/ICMLC.2009.5212448

Cite this

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title = "Improved real option analysis based on fuzzy random variables",

abstract = "The objective of this paper is to build a real options model under hybrid uncertain environment of randomness and fuzziness. In order to well describe the real uncertain situation, we utilize fuzzy random variable as a tool to characterize future cash flows, and propose a new real options analysis approach by combing binomial lattice-based model with fuzzy random variable, as named fuzzy random real options analysis (FR-ROA). Then the proposed FR-ROA is applied to an R&D project problem under fuzzy random environment, and the relations of FR-ROA with the classical ROA and the fuzzy ROA are explicitly discussed, respectively.",

keywords = "Binomial lattice-based model, Future cash flow, Fuzzy random variable, Real options analysis",

author = "Bo Wang and Wang, {Shu Ming} and Junzo Watada",

year = "2009",

doi = "10.1109/ICMLC.2009.5212448",

language = "English",

isbn = "9781424437030",

volume = "2",

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booktitle = "Proceedings of the 2009 International Conference on Machine Learning and Cybernetics",

note = "2009 International Conference on Machine Learning and Cybernetics ; Conference date: 12-07-2009 Through 15-07-2009",

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T1 - Improved real option analysis based on fuzzy random variables

AU - Wang, Bo

AU - Wang, Shu Ming

AU - Watada, Junzo

PY - 2009

Y1 - 2009

N2 - The objective of this paper is to build a real options model under hybrid uncertain environment of randomness and fuzziness. In order to well describe the real uncertain situation, we utilize fuzzy random variable as a tool to characterize future cash flows, and propose a new real options analysis approach by combing binomial lattice-based model with fuzzy random variable, as named fuzzy random real options analysis (FR-ROA). Then the proposed FR-ROA is applied to an R&D project problem under fuzzy random environment, and the relations of FR-ROA with the classical ROA and the fuzzy ROA are explicitly discussed, respectively.

AB - The objective of this paper is to build a real options model under hybrid uncertain environment of randomness and fuzziness. In order to well describe the real uncertain situation, we utilize fuzzy random variable as a tool to characterize future cash flows, and propose a new real options analysis approach by combing binomial lattice-based model with fuzzy random variable, as named fuzzy random real options analysis (FR-ROA). Then the proposed FR-ROA is applied to an R&D project problem under fuzzy random environment, and the relations of FR-ROA with the classical ROA and the fuzzy ROA are explicitly discussed, respectively.

KW - Binomial lattice-based model

KW - Future cash flow

KW - Fuzzy random variable

KW - Real options analysis

UR - http://www.scopus.com/inward/record.url?scp=70350716747&partnerID=8YFLogxK

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U2 - 10.1109/ICMLC.2009.5212448

DO - 10.1109/ICMLC.2009.5212448

M3 - Conference contribution

AN - SCOPUS:70350716747

SN - 9781424437030

VL - 2

SP - 694

EP - 699

BT - Proceedings of the 2009 International Conference on Machine Learning and Cybernetics

T2 - 2009 International Conference on Machine Learning and Cybernetics

Y2 - 12 July 2009 through 15 July 2009

ER -

Improved real option analysis based on fuzzy random variables

Abstract

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Keywords

ASJC Scopus subject areas

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