Journal ArticleDOI
Application of the fuzzy–stochastic methodology to appraising the firm value as a European call option
TLDR
In this paper, the authors proposed a fuzzy-stochastic model for the valuation of a firm equity as a European call option based on fuzzy numbers (T -numbers) and applied the Black-Scholes methodology.About:
This article is published in European Journal of Operational Research.The article was published on 2001-12-01. It has received 84 citations till now. The article focuses on the topics: Call option & Fuzzy number.read more
Citations
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Journal ArticleDOI
Fuzzy multi-objective programming for supplier selection and risk modeling: A possibility approach
TL;DR: A fuzzy multi-objective programming model to decide on supplier selection taking risk factors into consideration is proposed and results indicate when qualitative criteria are considered in supplier selection, the probability of a certain supplier being selected is affected.
Journal ArticleDOI
On fuzzy portfolio selection problems
Shouyang Wang,Shushang Zhu +1 more
TL;DR: An overview on the development of fuzzy portfolio selection to date is given and some related problems that might deserve further investigations are also discussed.
Journal ArticleDOI
Fuzzy stochastic linear programming: Survey and future research directions
TL;DR: A survey of the essential elements, methods and algorithms for this class of linear programming problems along with promising research directions is provided.
Journal ArticleDOI
A Fuzzy Pay-Off Method for Real Option Valuation
TL;DR: In this paper, a fuzzy pay-off method for real option valuation using fuzzy numbers is presented. But the method is not suitable for the real option market and it is difficult to understand and to implement.
Posted Content
A Fuzzy Pay-off Method for Real Option Valuation
TL;DR: A new method (fuzzy pay-off method) for real option valuation using fuzzy numbers that is intuitive to understand and far less complicated than any previous real options valuation model to date is presented.
References
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Book
Fuzzy sets
TL;DR: A separation theorem for convex fuzzy sets is proved without requiring that the fuzzy sets be disjoint.
Journal ArticleDOI
The Pricing of Options and Corporate Liabilities
Fischer Black,Myron S. Scholes +1 more
TL;DR: In this paper, a theoretical valuation formula for options is derived, based on the assumption that options are correctly priced in the market and it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks.
Book
Investment Under Uncertainty
Avinash Dixit,Robert S. Pindyck +1 more
TL;DR: In this article, Dixit and Pindyck provide the first detailed exposition of a new theoretical approach to the capital investment decisions of firms, stressing the irreversibility of most investment decisions, and the ongoing uncertainty of the economic environment in which these decisions are made.
Book
The econometrics of financial markets
TL;DR: In this paper, Campbell, Lo, and MacKinlay present an attempt by three well-known and well-respected scholars to fill an acknowledged void in the empirical finance literature, a text covering the burgeoning field of empirical finance.
Book
Options, Futures, and Other Derivatives
TL;DR: The Black-Scholes analysis of stock option prices was used in this paper to model the behavior of stock prices and the Yield Curve of stock options, as well as the Black's model for option pricing.