IDEAS home Printed from https://ideas.repec.org/a/spr/sorede/v34y2023i5d10.1134_s1075700723050039.html
   My bibliography  Save this article

Development of a Methodology for Analyzing the Effectiveness of Venture Capital Investment Based on Option and Fuzzy-Sets Approaches

Author

Listed:
  • A. O. Baranov

    (Institute of Economics and Industrial Engineering, Siberian Branch, Russian Academy of Sciences)

  • E. I. Muzyko

    (Novosibirsk State Technical University)

  • V. N. Pavlov

    (Institute of Economics and Industrial Engineering, Siberian Branch, Russian Academy of Sciences)

Abstract

The article is devoted to the development of a methodology for analyzing the effectiveness of venture capital investment based on the option and fuzzy-sets approaches. Venture capital financing plays a huge role in the process of innovation transition from the research stage to the production of innovative products and services. A feature of innovative projects is the high uncertainty in achieving positive technological and economic results in the course of their implementation. In this regard, in order to assess the commercial effectiveness of such projects, it is advisable to use methods that allow taking into account the uncertainty factors that affect the dynamics of project indicators. One of such methods is the apparatus of fuzzy sets, as well as an optional approach. Combining the methodology of real options with fuzzy set analysis allows, in our opinion, to obtain more reasonable results in assessing the financial efficiency of innovative projects. The article proposes the main directions for the development of a theoretical and methodological approach to evaluating the effectiveness of innovative projects financed by venture capital funds, using option and fuzzy-sets analysis.

Suggested Citation

  • A. O. Baranov & E. I. Muzyko & V. N. Pavlov, 2023. "Development of a Methodology for Analyzing the Effectiveness of Venture Capital Investment Based on Option and Fuzzy-Sets Approaches," Studies on Russian Economic Development, Springer, vol. 34(5), pages 565-572, October.
    • Handle: RePEc:spr:sorede:v:34:y:2023:i:5:d:10.1134_s1075700723050039
    DOI: 10.1134/S1075700723050039
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1134/S1075700723050039
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1134/S1075700723050039?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
    2. Zmeskal, Zdenek, 2001. "Application of the fuzzy-stochastic methodology to appraising the firm value as a European call option," European Journal of Operational Research, Elsevier, vol. 135(2), pages 303-310, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Collan, Mikael, 2008. "New Method for Real Option Valuation Using Fuzzy Numbers," Working Papers 466, IAMSR, Åbo Akademi.
    2. Agliardi, Rossella, 2006. "Options to expand: Some remarks," Finance Research Letters, Elsevier, vol. 3(1), pages 65-72, March.
    3. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
    4. Correia, Ricardo & Población, Javier, 2015. "A structural model with Explicit Distress," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 112-130.
    5. Cassimon, Danny & Engelen, Peter-Jan & Yordanov, Vilimir, 2011. "Compound Real Option Valuation with Phase-Specific Volatility: a Multi-phase Mobile Payments Case Study," MPRA Paper 46053, University Library of Munich, Germany.
    6. Andrea Gamba & Nicola Fusari, 2009. "Valuing Modularity as a Real Option," Management Science, INFORMS, vol. 55(11), pages 1877-1896, November.
    7. Chung, Y. Peter & Johnson, Herb, 2011. "Extendible options: The general case," Finance Research Letters, Elsevier, vol. 8(1), pages 15-20, March.
    8. Michel Benaroch, 2018. "Real Options Models for Proactive Uncertainty-Reducing Mitigations and Applications in Cybersecurity Investment Decision Making," Information Systems Research, INFORMS, vol. 29(2), pages 315-340, June.
    9. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    10. Robert L. Brown & Dominique Achour, 1984. "The Pricing of Land Options," Urban Studies, Urban Studies Journal Limited, vol. 21(3), pages 317-323, August.
    11. Robert J. Ritchey, 1990. "Call Option Valuation For Discrete Normal Mixtures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(4), pages 285-296, December.
    12. M. Bellalah, 2000. "A Reexamination of Corporate Risks Under Incomplete Information," THEMA Working Papers 2000-28, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    13. Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," PSE-Ecole d'économie de Paris (Postprint) halshs-00368336, HAL.
    14. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2011, January-A.
    15. Venditti, Fabrizio & Veronese, Giovanni, 2020. "Global financial markets and oil price shocks in real time," Working Paper Series 2472, European Central Bank.
    16. Susanne Griebsch, 2013. "The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques," Review of Derivatives Research, Springer, vol. 16(2), pages 135-165, July.
    17. Dominique Guegan & Jing Zang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 777-795.
    18. Alan Marcus, 1987. "Corporate Pension Policy and the Value of PBGC Insurance," NBER Chapters, in: Issues in Pension Economics, pages 49-80, National Bureau of Economic Research, Inc.
    19. Hartmann, Marcus & Hassan, Ali, 2006. "Application of real options analysis for pharmaceutical R&D project valuation--Empirical results from a survey," Research Policy, Elsevier, vol. 35(3), pages 343-354, April.
    20. Charitou, Andreas & Dionysiou, Dionysia & Lambertides, Neophytos & Trigeorgis, Lenos, 2013. "Alternative bankruptcy prediction models using option-pricing theory," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2329-2341.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sorede:v:34:y:2023:i:5:d:10.1134_s1075700723050039. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.