scholarly journals Comparison of the Datar-Mathews Method and the Fuzzy Pay-Off Method through Numerical Results

2016 ◽  
Vol 2016 ◽  
pp. 1-7 ◽  
Author(s):  
Mariia Kozlova ◽  
Mikael Collan ◽  
Pasi Luukka
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Simulation Model ◽  
Real Option ◽  
Fuzzy Numbers ◽  
Numerical Results ◽  
Option Valuation ◽  
The Real ◽  
Valuation Methods ◽  
Real Option Valuation

The paper compares numerically the results from two real option valuation methods, the Datar-Mathews method and the fuzzy pay-off method. Datar-Mathews method is based on using Monte Carlo simulation within a probabilistic valuation framework, while the fuzzy pay-off method relies on modeling the real option valuation by using fuzzy numbers in a possibilistic space. The results show that real option valuation results from the two methods seem to be consistent with each other. The fuzzy pay-off method is more robust and is also usable when not enough information is available for a construction of a simulation model.

scholarly journals VALUATION OF FLEXIBLE LEASES FOR CORPORATE TENANTS FACING UNCERTAINTY IN THEIR REQUIRED WORK SPACE

2010 ◽  
Vol 14 (1) ◽  
pp. 49-72 ◽  
Author(s):  
Baabak Ashuri
Keyword(s):  
Real Option ◽  
Maximum Amount ◽  
Option Valuation ◽  
The Real ◽  
Rental Market ◽  
Work Space ◽  
Real Option Valuation ◽  
Integrated Valuation

A valuation approach is presented to price flexible leases with expansion, contraction, and/or cancelation options from the corporate tenant perspective. This model uses the real option valuation approach and determines the flexibility value or the option premium of a lease. This premium is the maximum amount of money that the tenant is willing to invest in incorporating a specific flexible feature in the leasing arrangement. Our model considers uncertainty in the rental market, as well as uncertainty about the firm's required workspace in an integrated valuation framework. Santruka Pristatomas vertinimo metodas, kaip iš komercinio nuomininko perspektyvos ikainoti lanksčiaja nuoma su galimybe didinti arba mažinti plota ir (arba) atsisakyti nuomos. Šiame modelyje, taikant realiu pasirinkimo sandoriu vertinimo metoda, nustatoma nuomos lankstumo verte arba priemoka už galimybe rinktis. Ši priemoka ‐ tai maksimali pinigu suma, kuria nuomininkas pasiruošes investuoti, idant i nuomos susitarima galetu itraukti konkretu punkta del lankstumo. Mūsu modelyje i nuomos rinkos netikruma ir i netikruma del imonei reikiamo darbo ploto atsižvelgiama taikant kompleksine vertinimo sistema.

scholarly journals A Fuzzy Pay-Off Method for Real Option Valuation

2009 ◽  
Vol 2009 ◽  
pp. 1-14 ◽  
Author(s):  
Mikael Collan ◽  
Robert Fullér ◽  
József Mezei
Keyword(s):  
Real Option ◽  
Fuzzy Numbers ◽  
Academic Research ◽  
New Method ◽  
Option Valuation ◽  
Modeling And Analysis ◽  
Real Option Analysis ◽  
Valuation Model ◽  
Real Option Valuation ◽  
Different Types

Real option analysis offers interesting insights on the value of assets and on the profitability of investments, which has made real options a growing field of academic research and practical application. Real option valuation is, however, often found to be difficult to understand and to implement due to the quite complex mathematics involved. Recent advances in modeling and analysis methods have made real option valuation easier to understand and to implement. This paper presents a new method (fuzzy pay-off method) for real option valuation using fuzzy numbers that is based on findings from earlier real option valuation methods and from fuzzy real option valuation. The method is intuitive to understand and far less complicated than any previous real option valuation model to date. The paper also presents the use of number of different types of fuzzy numbers with the method and an application of the new method in an industry setting.

Real Option Valuation of FACTS Investments Based on the Least Square Monte Carlo Method

2011 ◽  
Vol 26 (3) ◽  
pp. 1389-1398 ◽  
Author(s):  
Gerardo Blanco ◽  
Fernando Olsina ◽  
Francisco Garces ◽  
Christian Rehtanz
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Real Option ◽  
Least Square ◽  
Option Valuation ◽  
Real Option Valuation
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