A FUZZY REAL OPTION VALUATION APPROACH TO CAPITAL BUDGETING UNDER UNCERTAINTY ENVIRONMENT

作者：Wang Shin Yun^*; Lee Cheng Few

来源：International Journal of Information Technology and Decision Making, 2010, 9(5): 695-713.

DOI：10.1142/S0219622010004056

• Capital budgeting
• real option
• fuzzy numbers
• uncertainty
• fuzzy real option valuation

The information needed for capital budgeting is generally not known with certainty. The sources of uncertainty may be the net cash inflows, the life of the project, or the discount rate. We propose a capital budgeting model under uncertainty environment in which the concept of probability is employed in describing fuzzy events and cash flow information can be specified as a special type of fuzzy numbers. The present worth of each fuzzy project cash flow can be subsequently estimated. At the same time, to select fuzzy projects and determine the optimal decision time under limited capital budget, we offer an example to analyze the results of the capital budgeting problem under uncertainty using a fuzzy real option valuation.

• 出版日期2010-9
• 单位东华大学