A Comparative Fuzzy Real Options Valuation Model using Trinomial Lattice and Black-Scholes Approaches: A Call Center Application

Valuation of Ihe investment projects is very serious in every dimen.sion. Convenlional discounted ca.sh flow techniques are usually insufficient since these techniques faii to account tor the (lexibility in business decisions and violations occur as a result of the existing uncertainty in projects. Real option valuation methods overcome this problem with its efficient and flexible nature. Financial option valuation methods are applied into real options area with little changes in variable definitions. When there is a lack of data or involuntary companies about giving their financial data, fuzzy numbers can be used to capture this vagueness. In this study, both fuzzy Black-Scholes and fuzzy trinomial lattice models are examined. These two fuzzy models are compared with each other for the first time in this paper. Differently from the previous works, tbe parameler dividend yield is added into tbe fuzzy trinomial lattice model. They botb are applied to a call center investment project. A comparison between these methods is made, and then a sensitivity analysis is discussed.