Research And Improvement Of Fuzzy Real Options Pricing Model And Its Application In High-Tech Enterprise

In recent years, real options are applied to the investment decision analysis of a project extensively, its main thought reflects the following points:when the market conditions are not clearly defined, investors may choose the best opportunity which carries on the investment or adjustment investment scale. This kind of option is named real options. Its value is investment decision opportunity cost. Generally, Black-Scholes model is used to price the real options. But, actually, we use option pricing model to decide a price, interest rates, standard deviation and stock (asset) prices are not invariable but fluctuate within a certain range, and predicting parameter values directly does not comply with the reality.In real option pricing, it is impractical to assume the net present value of expected cash flow payoff as an exact number because it is a forecasted vague one. The net present value can be defined as a fuzzy number to express its estimated uncertain values and the Black-Scholes formula is used to price a real option. A modified pricing approach to real options is thus proposed to transform the forecasted uncertain values evaluated by experts into some normal fuzzy numbers. The distance between fuzzy variables is introduced to define weighted vectors for selecting the best estimated interval. Because expected cash flow payoff evolves geometric Brown movement, so it is verified rationally to estimate the net present value of expected cash flow payoff with a normal fuzzy number. A numerical example is given to illustrate the validity of the proposed approach.This paper first systematically surveys basic theories and methods of researches about the evaluation of enterprises, methods of assessing the value of high-tech enterprises, and issues about the methods of fuzzy mathematics on the enterprise valuation. Then the basic definition theories of fuzzy mathematics are explained, as the theoretical support for improving model. Finally, for the development of high-tech enterprises uncertainty characteristics, we applying the method of fuzzy math to improve option pricing model, and using BP algorithm to the simulation experiment, thus proving that the Fuzzy Real Options Pricing Model has certain effects.