Efficient Calculation of the Value Function in Fuzzy Real Option by Differential Evolution Algorithms

This paper adopts a promising concept of uncertainty incorporating both stochastic processes and fuzzy theory to capture the somewhat vague and imprecise ideas the manager has about the future expected cash flows, the profitability of the project, the cost of the project and other variables involved in an investment decision. In particular, three examples of real options are examined and the computational experiments are performed. It is shown that fuzziness can play the role of a sensitivity analysis of the real option value with respect to the key decisional variables.