Research On Option Pricing Model Under Fuzzy Environment And Its Application In Expressway Project

Value assessment of project investment is a very important and complicated issue. The traditional theories and methods of investment such as Real Option Value have been accepted and adopted at present. However, as they are restrained by so many uncertain factors, these methods have their own limitations. The most criticized problem is how to deal with the uncertainty. Therefore, in order to define the uncertainty in the Option Pricing Model, this paper attempts to study the option pricing problems on the basis of fuzzy environment. And then it proposes some more practical and reasonable Option Pricing Model. In the end, corresponding analysis procedure and solving process are presented. The following is the main content and conclusion of the paper:Firstly, after classifying, inducing and regulating the method of project investment & construction value and the theory of option pricing comprehensively and systematically, and combined with the former researches both at home and abroad, this paper starts with the hypothesis of neutral risk and fixed fluctuation of underlying assets and analyze the implementation error of classic B-S and B-tree option pricing models, then proposed the limitation of traditional real option pricing method in practical application.Secondly, this paper builds up B-tree Option Pricing Model based on fuzzy set. In addition it builds up the First Phase Fuzzy B-tree Call Option Pricing Model by measuring the fuzziness of analysis on real option with the fuzzy theory, and utilizing the view of fuzziness to confirm the uncertain parameters including the risk-free rate of interest and the fluctuation of underlying asset remuneration. Then it expands the model to the second and multiple phase and presents the analysis procedure and deduction process in detail.Thirdly, this research also builds up B-S Option Pricing Model based on fuzzy decision-making space. The process that investors deal with Option Pricing Model is actually a decision-making space composed of fuzzy sample information, fuzzy status, fuzzy action and the finally achieved call option price, i.e. fuzzy assessment function, therefore using fuzzy theory and Bayes’theorem to measure the fuzziness, hereby to assess the desired value of correlative variables in Option Pricing Models and build up Option Pricing Models to decide the B-S option pricing under uncertain circumstance.Finally, a new Fuzzy B-tree Real Option Model is built to establish an empirical analysis, using an expressway project as an example. The empirical result of JS express highway project manifests that the B-tree pricing method based on fuzzy number is capable to avoid the influence of uncertain factors. Besides, a fuzzy interval similar to confidence interval is formed so that the investor can adjust his expectation on the change of the future income by constantly adjusting the variables such as fuzzy number’s border, etc., and then make a reasonable assessment on the investment value of the expressway in this interval.