Assessment of the European Call and Put Options Cost of Innovative Projects

Abstract

As part of the research, a method for assessing the cost of call and put options for innovative projects is suggested based on the stochastic model of Bass innovation. The resulting expressions can be used by investors to assess the value of the risk of funds loss associated with innovations. Based on the model innovation project, the assessment of project indicators is analyzed depending on various assumptions about the nature of changes and the possibility of their accounting using stochastic methods, interval mathematics and fuzzy sets. It shows possible approaches and methods for assessing the impact of changes in project data, related to both statistical properties of project revenue, and fuzzy information or uncertainty about their actual values.