Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/159484
Authors: 
Agliardi, Elettra
Guerra, Maria Letizia
Stefanini, Luciano
Year of Publication: 
2008
Series/Report no.: 
Quaderni - Working Paper DSE 643
Abstract: 
This paper adopts a promising concept of uncertainty, incorporating both stochastic processes and fuzzy theory to capture the somewhat vague and imprecise ideas the manager has about the future expected cash flows, the profitability of the project, the costs of the project and many other variables involved in an investment decision. Thus, uncertainty in real option valuation can be faced introducing fuzziness in the fundamental items of the classical approach. In particular, three examples of real options are examined and the computational experiments are performed. It is shown that fuzziness can play the role of a sensitivity analysis of the real option value with respect to the key decisional variables.
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Working Paper

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