Real options value by Monte Carlo Simulation and fuzzy numbers

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

Research output: Contribution to journalArticle in a journalpeer-review


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 do not have a known stochastic process or probability distribution that can correctly model them; stochastic processes, to represent other kinds of 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
Pages (from-to)181-189
JournalInternational Journal of Business
Issue number2
StatePublished - 2007
Externally publishedYes


  • Real options
  • Fuzzy numbers
  • Monte Carlo simulation


Dive into the research topics of 'Real options value by Monte Carlo Simulation and fuzzy numbers'. Together they form a unique fingerprint.

Cite this