Determination of real options value by Monte Carlo simulation and fuzzy numbers

Juan G.Lazo Lazo, Marley Maria B.R. Vellasco, Marco Aurélio C. Pacheco

Research output: Contribution to conferencePaperpeer-review

3 Scopus citations

Abstract

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 does not have a known stochastic process that can correctly model them; stochastic processes to represent other 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.
Original languageEnglish
Pages488-493
Number of pages6
DOIs
StatePublished - 1 Dec 2005
Externally publishedYes
EventProceedings - HIS 2005: Fifth International Conference on Hybrid Intelligent Systems -
Duration: 1 Dec 2005 → …

Conference

ConferenceProceedings - HIS 2005: Fifth International Conference on Hybrid Intelligent Systems
Period1/12/05 → …

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