About: Application of Fuzzy Numbers in Binomial Tree Model and Time Complexity

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Discrete binomial models are powerful tools for options valuation. For simple pay-off options they can be viewed as an approximation of famous Black-Scholes option valuation formula. By increasing the quantity of periods in binomial model (i.e. decreasing the length of the period), the results converge to the continuous model. However this approximation is very computationally costly, thus the analytical solution to the valuation is preferable. Nevertheless, the analytical solution does not exist for more complicated pay-off options. In the article we assume the valuation of project with the possibility to change the quantity of products produced. Some input parameters (concretely the volatility and initial cash-flows) are assumed to be uncertain and stated as a fuzzy numbers. Illustrative example is provided in the paper. In this example we examine the time complexity of the algorithm and the influence of the imprecision of input parameters on the appraisal imprecision. From the results it is apparent that the complexity of the model is quadratic. Thus by increasing the quantity of periods in the binomial model it becomes unreasonably time demanding. Discrete binomial models are powerful tools for options valuation. For simple pay-off options they can be viewed as an approximation of famous Black-Scholes option valuation formula. By increasing the quantity of periods in binomial model (i.e. decreasing the length of the period), the results converge to the continuous model. However this approximation is very computationally costly, thus the analytical solution to the valuation is preferable. Nevertheless, the analytical solution does not exist for more complicated pay-off options. In the article we assume the valuation of project with the possibility to change the quantity of products produced. Some input parameters (concretely the volatility and initial cash-flows) are assumed to be uncertain and stated as a fuzzy numbers. Illustrative example is provided in the paper. In this example we examine the time complexity of the algorithm and the influence of the imprecision of input parameters on the appraisal imprecision. From the results it is apparent that the complexity of the model is quadratic. Thus by increasing the quantity of periods in the binomial model it becomes unreasonably time demanding. (en)
Title	Application of Fuzzy Numbers in Binomial Tree Model and Time Complexity Application of Fuzzy Numbers in Binomial Tree Model and Time Complexity (en)
skos:prefLabel	Application of Fuzzy Numbers in Binomial Tree Model and Time Complexity Application of Fuzzy Numbers in Binomial Tree Model and Time Complexity (en)
skos:notation	RIV/61989100:27510/13:86086904!RIV14-MSM-27510___
http://linked.open...avai/predkladatel	Ekonomická fakulta
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(ED1.1.00/02.0070), P(EE2.3.30.0016), S
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Kresta, Aleš Zmeškal, Zdeněk
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	61741
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/13:86086904
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Binomial model; Real options; Fuzzy sets; Investment analysis; Valuation; Finance (en)
http://linked.open.../riv/klicoveSlovo	Finance Real options Investment analysis Fuzzy sets Valuation Binomial model
http://linked.open...ontrolniKodProRIV	[F74B9D5FBC51]
http://linked.open...v/mistoKonaniAkce	Sychrov
http://linked.open...i/riv/mistoVydani	Liberec
http://linked.open...i/riv/nazevZdroje	Liberec Economic Forum 2013 : proceedings of the 11th international conference : 16th-17th September, Sychrov, Czech Republic, EU
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Opportunities for young researchers IT4Innovations Centre of Excellence
http://linked.open...UplatneniVysledku	2013
http://linked.open...iv/tvurceVysledku	Kresta, Aleš Zmeškal, Zdeněk
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2013-09-16 (xsd:date)
number of pages	10 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Technická univerzita v Liberci
https://schema.org/isbn	978-80-7372-953-0
http://localhost/t...ganizacniJednotka	27510

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