Credibilistic Real Options Analysis Using Interval-Valued Triangular Fuzzy Numbers
The importance of fuzzy real options analysis has been growing in the past ten years due to recent introductions of intuitive fuzzy real options models, which have been demonstrated to be both practical and easy to implement. This paper introduces the credibilistic pay-off model for triangularinterval-valued fuzzy numbers, IVFNs, and comparesit to theearlier publishedinterval-valued version of the possibilistic fuzzy pay-off model. The new credibilisticinterval-valued model is an extension to the credibilistic model of Collan et al. (2012). It accounts for higher uncertainly and imprecision faced by an investment analyst than the original model. Also, the original credibilistic model has shown more stable behavior when compared to other fuzzy models. This can make the credibilistic interval-valued version a useful and competitive alternative for different application domains with inherently high uncertainties. Analytical solutions are providedboth for the new credibilistic model, as well as, for the interval-version of the possibilistic pay-off model making them directly implementable using a spreadsheet and other analysis software.
Keywords - Real options, Mergers and acquisitions, Triangular distribution, Interval-valued fuzzy numbers, Credibility measure, Possibility measure