Real Options Research Based on Parabolic Fuzzy Numbers

The 11th International Conference on innovation and management, 2014

11 Pages Posted: 9 Jan 2020

See all articles by Ma Lu

Ma Lu

Guangxi University of Science and Technology

Hao Gaoli

institution of Finance

Date Written: Apirl 5, 2014

Abstract

input parameters in traditional real option pricing formula is difficult to accurately determine the number ,so it is common to use some random number or given number , causing the results of error is very larger and affecting investment decisions. In this paper, in order to solve the problem, we consider to optimize the input parameters through a nonlinear parabolic fuzzy number. then, it is better for the risk of investment projects to amend Black-Scholes pricing formula . further, not only is the number of parabolic fuzzy in-depth research conducted, but also we propose a new fuzzy real option pricing model by changing parabolic fuzzy number into a trapezoidal fuzzy number, retaining a number of characteristic parameters effectively Finally, the validity of the model is tested and the advantages compared to the trapezoidal fuzzy numbers is to be proved by example.

Keywords: Real Options; Parabolic Fuzzy Number; B-S Model

JEL Classification: G11; G12

Suggested Citation

Lu, Ma and Gaoli, Hao, Real Options Research Based on Parabolic Fuzzy Numbers (Apirl 5, 2014). The 11th International Conference on innovation and management, 2014, Available at SSRN: https://ssrn.com/abstract=3498938

Ma Lu

Guangxi University of Science and Technology

268 Donghuan Avenue
Liuzhou, Guangxi 542006
China

Hao Gaoli (Contact Author)

institution of Finance ( email )

school of economics,Fudan University
Room408,600Guoquan Road
Shanghai, 200433
China

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