Real Options Value by Monte Carlo Simulation and Fuzzy Numbers
نویسندگان
چکیده
This work presents the development of a methodology based on Monte Carlo Simulation, Fuzzy Numbers and in the Real Options Theory to determine the real options value under technical and market uncertainties. The objective of the proposed methodology is to substantially reduce the computational time involved, facilitating the decision taking process. The methodology involves: fuzzy numbers, to represent certain types of uncertainties that do not have a known stochastic process or probability distribution that can correctly model them; stochastic processes, to represent other kinds of uncertainties; and Monte Carlo simulation, to generate a good approximation of the real option value. This methodology was evaluated in problems of expansion option in the area of oil exploration and production, attaining the same results provided by conventional techniques but with a significant reduction in the necessary computational time. JEL Classification: G11, G12, G31, C63
منابع مشابه
Application of Monte Carlo Simulation in the Assessment of European Call Options
In this paper, the pricing of a European call option on the underlying asset is performed by using a Monte Carlo method, one of the powerful simulation methods, where the price development of the asset is simulated and value of the claim is computed in terms of an expected value. The proposed approach, applied in Monte Carlo simulation, is based on the Black-Scholes equation which generally def...
متن کاملUncertainties due to Fuel Heating Value and Burner Efficiency on Performance Functions of Turbofan Engines Using Monte Carlo Simulation
In this paper, the impacts of the uncertainty of fuel heating value as well as the burner efficiency on performance functions of a turbofan engine are studied. The mean value and variance curves for thrust, thrust specific fuel consumption as well as propulsive, thermal and overall efficiencies are drawn and analyzed, considering the aforementioned uncertainties based on various Mach numbers at...
متن کاملComparison dose distributions from gamma knife unit 4C with CT data and non-CT data options of beamnrc code
Todays gamma knife radiosurgery is used widely for treatment of very small brain tumors. In order to investigate accuracy of dosimetry and treatment planning calculations, using Monte Carlo simulation with dedicated code named as beamnrc including non-CT data and CT data options is necessary. The aim of this study is choosing the best options in order to have an accurate tools based on their ad...
متن کاملA Real Options Design for Product Outsourcing
We develop a financial model to assess the option value of outsourcing. We value the real options associated with outsourcing an item using Monte Carlo simulation. This valuation gives decision makers a way to choose the appropriate outsourcing strategy based on an integrated view of market dynamics. A simulation example is used to demonstrate the application of real options to value outsourcin...
متن کاملEffect of Implementation Time on Real Options Valuation
Exercising real options often requires an implementation time, whereas financial options can be exercised instantly. Neglecting the implementation time needed to exercise a real option causes overvaluing that option. We develop lattice and Monte Carlo simulation techniques to value real option problems, where exercising the option requires an implementation time. We present the application of t...
متن کامل