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

Producción científica: Contribución a una revistaArtículo de revista revisión exhaustiva


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.
Idioma originalInglés
Páginas (desde-hasta)181-189
PublicaciónInternational Journal of Business
EstadoPublicada - 2007
Publicado de forma externa


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