| dc.contributor.author | Zmeškal, Zdeněk | |
| dc.date.accessioned | 2006-11-08T14:30:34Z | |
| dc.date.available | 2006-11-08T14:30:34Z | |
| dc.date.issued | 2001 | |
| dc.identifier.citation | European Journal of Operational Research. 2001, vol. 135, issue 2, p. 303-310. | en |
| dc.identifier.issn | 0377-2217 | |
| dc.identifier.issn | 1872-6860 | |
| dc.identifier.uri | http://hdl.handle.net/10084/57964 | |
| dc.language.iso | en | en |
| dc.publisher | North-Holland | en |
| dc.relation.ispartofseries | European Journal of Operational Research | en |
| dc.relation.uri | http://dx.doi.org/10.1016/S0377-2217(01)00042-X | en |
| dc.rights | Copyright © 2001 Elsevier Science B.V. All rights reserved. | |
| dc.subject | decision support system | en |
| dc.subject | finance | en |
| dc.subject | fuzzy sets | en |
| dc.subject | pricing | en |
| dc.subject | stochastic processes | en |
| dc.title | Application of the fuzzy-stochastic methodology to appraising the firm value as a European call option | en |
| dc.type | article | en |
| dc.identifier.location | Není ve fondu ÚK | en |
| dc.description.abstract-en | The valuing of a firm equity as a call option is a crucial problem in financial decision-making. There are two basic aspects that are studied; contingent claim features (payoff functions) and risk (stochastic process of underlying assets). However, non-preciseness (vagueness, uncertainty) of input data is often neglected. Thus, a combination of risk (stochastic) and uncertainty (fuzzy instruments) could be a useful approach in calculating a firm value as a call option. The Black–Scholes methodology of appraising equity as a European call option is applied. Fuzzy–stochastic methodology under fuzzy numbers (T-numbers) is proposed and described. Fuzzy–stochastic model of appraising a firm equity is proposed. Input data are in a form of fuzzy numbers and result, firm possibility-expected equity value is also determined vaguely as a fuzzy set. Illustrative example is introduced. | en |
| dc.identifier.doi | 10.1016/S0377-2217(01)00042-X | |
| dc.identifier.wos | 000171207200006 | |