Real options are a typical framework in economics that involves uncertainty and can take advantage of a model of uncertainty that includes stochastic processes and fuzzy numbers; to perform the complete analysis with american type real options, we need to compute the fuzzy extension of the value function and this requires massive calculations. A special version of the multiple population differential evolution algorithm is designed to compute the level-cuts of the fuzzy extension of the multidimensional real valued function of fuzzy numbers in the resulting optimization prob- lems.
Value function computation in fuzzy real options by differential evolution / M.L. Guerra; L.Sorini; L.Stefanini. - ELETTRONICO. - (2009), pp. 324-329. (Intervento presentato al convegno ISDA 2009 tenutosi a PISA nel 30 Novembre-2 Dicembre 2009).
Value function computation in fuzzy real options by differential evolution
GUERRA, MARIA LETIZIA;
2009
Abstract
Real options are a typical framework in economics that involves uncertainty and can take advantage of a model of uncertainty that includes stochastic processes and fuzzy numbers; to perform the complete analysis with american type real options, we need to compute the fuzzy extension of the value function and this requires massive calculations. A special version of the multiple population differential evolution algorithm is designed to compute the level-cuts of the fuzzy extension of the multidimensional real valued function of fuzzy numbers in the resulting optimization prob- lems.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
