Fuzzy Volatility Effect on Major Projects Timing

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dc.contributor.author Kouatli, Issam
dc.contributor.author Abdallah, Skander Ben
dc.date.accessioned 2019-03-12T10:08:41Z
dc.date.available 2019-03-12T10:08:41Z
dc.date.copyright 2018 en_US
dc.date.issued 2019-03-12
dc.identifier.isbn 9.78151E+12 en_US
dc.identifier.uri http://hdl.handle.net/10725/10183 en_US
dc.description.abstract We determine the real option value and the optimal launching time of a major project when the project present value follows a stochastic process with fuzzy volatility, and the project has to be delayed until it is deemed financially or economically viable. When the volatility is a crisp value, it is known that the investment is triggered when the project present value hits a constant threshold, the investment trigger, strictly higher than the project investment cost to account for the loss of flexibility. We re-establish this rule when the volatility is a trapezoidal fuzzy number and discuss it with a numerical example. Because of the monotony of the investment trigger as a function of the volatility, the trigger membership function can be easily determined. Using a representative numerical example, we show in particular that the volatility ambiguity does not make the flexibility value to vanish. We show also that the investment trigger has rather a narrower core interval with respect to the fuzzy volatility core interval. To the best of our knowledge, this is the first continuous fuzzy real options model to address American option. The model can be used to introduce ambiguity surrounding the investment cost, present value or time-to- build of a given project and to investigate their impact on the project optimal launching date. en_US
dc.language.iso en en_US
dc.publisher IEEE en_US
dc.subject Fuzzy systems -- Congresses en_US
dc.title Fuzzy Volatility Effect on Major Projects Timing en_US
dc.type Conference Paper / Proceeding en_US
dc.author.school SOB en_US
dc.author.idnumber 200301034 en_US
dc.author.department Information Technology And Operations Management en_US
dc.description.embargo N/A en_US
dc.publication.place Piscataway, N.J. en_US
dc.keywords Real options en_US
dc.keywords Perpetual American option en_US
dc.keywords Trapezoidal fuzzy volatility en_US
dc.description.bibliographiccitations Includes bibliographical references. en_US
dc.identifier.doi http://dx.doi.org/10.1109/FUZZ-IEEE.2018.8491567 en_US
dc.identifier.ctation Abdallah, S. B., & Kouatli, I. (2018, July). Fuzzy Volatility Effect on Major Projects Timing. In 2018 IEEE International Conference on Fuzzy Systems (FUZZ-IEEE) (pp. 1-6). IEEE. en_US
dc.author.email issam.kouatli@lau.edu.lb en_US
dc.conference.date 8-13 July, 2018 en_US
dc.conference.pages 6-Jan en_US
dc.conference.place Rio de Janeiro, Brazil en_US
dc.conference.title 2018 IEEE International Conference on Fuzzy Systems (FUZZ-IEEE) en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url https://ieeexplore.ieee.org/abstract/document/8491567 en_US
dc.publication.date 2018 en_US
dc.author.affiliation Lebanese American University en_US

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