The paper compares numerically the results from two real option valuation methods, the Datar-Mathews method and the fuzzy pay-off method. Datar-Mathews method is based on using Monte Carlo simulation within a probabilistic valuation framework, while the fuzzy pay-off method relies on modeling the real option valuation by using fuzzy numbers in a possibilistic space. The results show that real option valuation results from the two methods seem to be consistent with each other. The fuzzy pay-off method is more robust and is also usable when not enough information is available for a construction of a simulation model.
Kozlova, M., Collan, M., & Luukka, P. (2016). Comparison of the Datar-Mathews Method and the Fuzzy Pay-Off Method through Numerical Results. Advances in Decision Sciences, 2016, 1–7. https://doi.org/10.1155/2016/7836784