COG-FPOM: adapted fuzzy pay-off method for real options valuation : application in the abandonment decision of petroleum producing fields
- Borges, Roberto Evelim Penha Universidade do Rio Grande do Norte, Brasil / Université de Fribourg, Switzerland
- Dória Neto, Adrião Duarte Universidade do Rio Grande do Norte, Brasil
- Meier, Andreas Université de Fribourg, Switzerland
- Dias, Marco Antonio Guimarães Pontifícia Universidade Católica do Rio de Janeiro, Brasil
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01.07.2017
16
English
This paper presents the COG-FPOM, a model based on the Fuzzy Pay-Off Method (FPOM). The FPOM is a scenario-based real option valuation method that uses fuzzy numbers as possibility distributions. The paper shows an unexpected result generated by the original FPOM, in which the real option would have a negative value. It further analyses its reasons and suggests a way to overcome it, by using the center of gravity (COG) instead of the possibilistic mean to summarize a fuzzy number. The overall work is an ongoing project that aims to apply the presented model to support the abandonment decision of petroleum producing fields – an initial attempt together with its preliminary outcomes are shown here. Although not concluded, the COG-FPOM and its pilot results indicate a good potential for the sequence of the project.
- Collections
- Faculty
- Faculté des sciences et de médecine
- Department
- Département d'informatique
- Language
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- English
- Classification
- Computer science and technology
- Series statement
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- Internal working papers DIUF ; 17-01
- License
- License undefined
- Identifiers
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- RERO DOC 305042
- RERO R008690963
- Persistent URL
- https://folia.unifr.ch/unifr/documents/305904
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