A Literature Review Fuzzy Pay-Off-Method – A Modern Approach in Valuation

  • Daniel Manaţe Faculty of Economics "Aurel Vlaicu" University of Arad
  • Mihaela Crăciun MA students, Faculty of Economics "Aurel Vlaicu" University of Arad
  • Erzsébet Horváth-Balta MA students, Faculty of Economics "Aurel Vlaicu" University of Arad
  • Iuliana Horváth-Balta MA students, Faculty of Economics "Aurel Vlaicu" University of Arad

Abstract

This article proposes to present a modern approach in the analysis of updated cash flows. The approach is based on the Fuzzy Pay-Off-Method (FPOM) for Real Option Valuation (ROV). This article describes a few types of models for the valuation of real options currently in use. In support for the chosen FPOM method, we included the mathematical model that stands at the basis of this method and a case study.

References

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Boyle, P. (1986). Option Valuation Using a Three-Jump Process, International Options Journal, 3

Buckley, J., Esfandiar, E. (2008). Pricing Stock Options Using Black-Scholes and Fuzzy Sets, New Mathematics and Natural Computation, 4

Collan, M., Carlsson, C., Majlender, P. (2003). Fuzzy Black and Scholes Real Option Pricing, Journal of Decision Systems, 12

Collan, M., Fullér, R., Mézei, J. (2009). Fuzzy Pay-off Method for Real Option Valuation, Journal of Applied Mathematics and Decision Systems

Datar, V., Mathews, S., Johnson, B. (2007). A Practical Method for Valuing Real Options: The Boeing Approach, Journal of Applied Corporate Finance vol.19, no.2

Mathews, S., Datar, V. (2007). A Practical Method for Valuing Real Options: The Boeing Approach, Journal of Applied Corporate Finance 19

Muzzioli, S., Torricelli, C. (2000) A model for pricing an option with a fuzzy payoff, Fuzzy Economics Review 6

Published
2015-01-06