Generalised soft multi-mode real options model (fuzzy-stochastic approach)

Researchers and practitioners are dealing intensively with the real option valuation. One of generalised types is reversible multi-mode American options. These options solved mainly by applying stochastic discrete binomial models. Uncertainty a typical feature valuation, two basic representation distinguished: risk (stochastic) imprecision (fuzzy). The fuzzy-stochastic models indicate modelling containing both aspects. objective paper to develop apply model. This model based on fuzzy numbers, model, decomposition principle. Input data, particularly underlying cash-flows, given fuzzy-random numbers; numbers give terminal values, risk-free rate, switching cost. Furthermore, assumptions computation procedures also described. proposed optimisation problem used for value calculation. Results compared sub-problems, crisp-stochastic multi-modes partial A stylised illustrative operational flexibility example comparing presented discussed. can serve decision-making, sensitivity analysis control under environment.