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Statements

Subject Item
n2:RIV%2F61989100%3A27510%2F13%3A86086904%21RIV14-MSM-27510___
rdf:type
skos:Concept n19:Vysledek
dcterms: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.
dcterms:title
Application of Fuzzy Numbers in Binomial Tree Model and Time Complexity Application of Fuzzy Numbers in Binomial Tree Model and Time Complexity
skos:prefLabel
Application of Fuzzy Numbers in Binomial Tree Model and Time Complexity Application of Fuzzy Numbers in Binomial Tree Model and Time Complexity
skos:notation
RIV/61989100:27510/13:86086904!RIV14-MSM-27510___
n19:predkladatel
n20:orjk%3A27510
n3:aktivita
n21:S n21:P
n3:aktivity
P(ED1.1.00/02.0070), P(EE2.3.30.0016), S
n3:dodaniDat
n13:2014
n3:domaciTvurceVysledku
n15:3143783 n15:2925494
n3:druhVysledku
n4:D
n3:duvernostUdaju
n16:S
n3:entitaPredkladatele
n5:predkladatel
n3:idSjednocenehoVysledku
61741
n3:idVysledku
RIV/61989100:27510/13:86086904
n3:jazykVysledku
n8:eng
n3:klicovaSlova
Binomial model; Real options; Fuzzy sets; Investment analysis; Valuation; Finance
n3:klicoveSlovo
n11:Finance n11:Fuzzy%20sets n11:Real%20options n11:Binomial%20model n11:Investment%20analysis n11:Valuation
n3:kontrolniKodProRIV
[F74B9D5FBC51]
n3:mistoKonaniAkce
Sychrov
n3:mistoVydani
Liberec
n3:nazevZdroje
Liberec Economic Forum 2013 : proceedings of the 11th international conference : 16th-17th September, Sychrov, Czech Republic, EU
n3:obor
n9:AH
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
2
n3:projekt
n6:EE2.3.30.0016 n6:ED1.1.00%2F02.0070
n3:rokUplatneniVysledku
n13:2013
n3:tvurceVysledku
Kresta, Aleš Zmeškal, Zdeněk
n3:typAkce
n17:WRD
n3:zahajeniAkce
2013-09-16+02:00
s:numberOfPages
10
n18:hasPublisher
Technická univerzita v Liberci
n22:isbn
978-80-7372-953-0
n14:organizacniJednotka
27510