Real Options Valuation Under Uncertainty Using Fuzzy Least Square Monte-Carlo Simulation

Due to the elevation in the dynamicity governing the economic and financial conditions, it is of great importance to deal with novel methods of performing economic evaluation of investment projects. The present study provides a framework within which the real options theory could be utilized in comparison to traditional methods under uncertainty. So that, a Photovoltaic Power Plant as the case study was evaluated by traditional methods. And then, the appropriate options such as expansion, abandonment and defer for the power plant were evaluated by (both crisp and fuzzy) least square Monte-Carlo simulation and it was made clear that the fuzzy real option, meanwhile increasing the investment value, is more flexible than the traditional methods.