Abstract

MILANESI, Gastón Silverio. Probabilistic versus fuzzy valuation, real options and the binomial model. Application for investment projects in ambiguity conditions. estud.gerenc. [online]. 2014, vol.30, n.132, pp.211-219. ISSN 0123-5923.

The aim of this paper is to present the methodology, advantages and weakness of the fuzzy binomial real option model as a complement to the probabilistic binomial model. The structure is as follow: first, it shows the real option models classified into probabilistic and fuzzy. Second, it develops the binomial fuzzy model, incorporating: the MAD method (Marketed Asset Disclaimer); fuzzy binomial lattice, and the pessimistic-optimistic index for estimates of the real option expected value of the project (ROEV). It illustrates, using a case comparing, the results obtained with the fuzzy and probabilistic model. It concludes that in lack of information situations (ambiguity), the fuzzy logic is a complement of the probabilistic model for estimates of the strategic flexibility value.

Keywords : Real options; Fuzzy; Binomial; Ambiguity.

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