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Picture Fuzzy Black-Scholes Option Pricing Model in Investment Project Analysis
Elif Haktanir
In this study, the use of financial option pricing models in the evaluation of investment projects is examined under the picture fuzzy environment. Especially in projects where uncertainty and risk are high, the traditional discounted cash flow approach gives poor results. The real option approach, which considers uncertainty, can be used effectively in such investment projects. By examining the similarities between a financial option and an investment project, the economic value of the investment project, which is expressed as a call option, is calculated within the framework of the picture fuzzy Black-Scholes option pricing model. Finally, the way and to what extent the calculated project value will be affected by the discount rate and the changes in risk are examined with the help of sensitivity analysis.
Keywords: Picture fuzzy sets, black-scholes model, investment project analysis, R&D