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 |
|---|---|
| Pages (from-to) | 1689-1698 |
| Number of pages | 10 |
| Journal | International Journal of Innovative Computing, Information and Control |
| Volume | 6 |
| Issue number | 4 |
| Publication status | Published - 2010 Apr |
Keywords
- Binomial lattice-based model
- Future cash flow
- Fuzzy random variable
- Real options analysis
ASJC Scopus subject areas
- Computational Theory and Mathematics
- Information Systems
- Software
- Theoretical Computer Science