DocumentCode :
1701882
Title :
Fuzzy Game-Based Real Option Analysis in Competitive Investment Situation
Author :
Tangsajanaphakul, Tanatch ; Watada, Junzo
Author_Institution :
Grad. Sch. of Inf., Production & Syst., Waseda Univ., Kitakyushu, Japan
fYear :
2011
Firstpage :
381
Lastpage :
384
Abstract :
In real option pricing, it is impractical to assume the net present value of expected cash flow payoff as an exact number because it is a forecasted vague one. The price can be defined as a fuzzy number to express its estimated uncertain values and the Binomial Tree is used to price a real option. A modified pricing approach to real options is thus proposed to transform the forecasted uncertain values evaluated by experts into some normal fuzzy numbers. Furthermore, Fuzzy Game is employed to find optimal strategy. The paper´s objective is to propose the method that fulfills the lacking competitive view in investment decision making. The approach consists of the combination of Real Option Analysis and Game Theory. The integration of these two methods helps a decision maker to view uncertainty of the project from competition perspective. A real investment case is given to illustrate the validity of the proposed approach.
Keywords :
decision making; fuzzy set theory; game theory; investment; pricing; trees (mathematics); binomial tree; cash flow payoff; competitive investment situation; fuzzy game-based real option analysis; fuzzy number; investment decision making; modified pricing approach; net present value; option pricing; uncertain values forecasting; Companies; Cost accounting; Games; Investments; Pricing; Production; Uncertainty; Fuzzy Game; Game theory; expected cash flow payoff; normal fuzzy number; on distance between fuzzy variables; real option pricing;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Genetic and Evolutionary Computing (ICGEC), 2011 Fifth International Conference on
Conference_Location :
Xiamen
Print_ISBN :
978-1-4577-0817-6
Electronic_ISBN :
978-0-7695-4449-6
Type :
conf
DOI :
10.1109/ICGEC.2011.102
Filename :
6042806
Link To Document :
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