The real option game theory is a new effective method to analyze the project investment decision containing uncertain factors in the incomplete competition circumstance. Based on the introduction of the development of...The real option game theory is a new effective method to analyze the project investment decision containing uncertain factors in the incomplete competition circumstance. Based on the introduction of the development of real option game method, this paper puts forward a real option game model to research on the investment opportunity and investment strategy of technology innovation involved two competitors. The varies of the value of project bring on three kinds of game equilibrium, that is the corporate investment equilibrium strategy, the leader ＆ follower investment equilibrium strategy and the corporate delay equilibrium strategy.展开更多
Aiming at the public sector and the private sector in PPP projects as the research objects, the two core participants investment decision model is established by using option game thinking. First, based on the option ...Aiming at the public sector and the private sector in PPP projects as the research objects, the two core participants investment decision model is established by using option game thinking. First, based on the option game features PPP projects have, the paper proposes some research hypotheses on value, income, cost for the option. Second, on the basis of the decision path of a multi-stage binary tree model, respectively for the public sector and the private sector, the paper builds up utility functions, the cost-input model and the contract decision model. It indicates that by the use of growth options in the shortened contract period, the private sector can still ensure the construction quality of the PPP project. Finally, the validity of the model in the PPP project agreement and the investment decision process is verified by the case analysis.展开更多
Game option is an American-type option with added feature that the writer can exercise the option at any time before maturity.In this paper,we consider the problem of hedging Game Contingent Claims(GCC)in two cases.Fo...Game option is an American-type option with added feature that the writer can exercise the option at any time before maturity.In this paper,we consider the problem of hedging Game Contingent Claims(GCC)in two cases.For the case that portfolio is unconstrained,we provide a single arbitrage-free price P_(0).Whereas for the constrained case,the price is replaced by an interval[h_(low),h_(up)]of arbitrage-free prices.And for the portfolio with some closed constraints,we give the expressions of the upper-hedging price and lower-hedging price.Finally,for a special type of game option,we provide explicit expressions of the price and optimal portfolio for the writer and holder.展开更多
In dynamic uncertain environments, the investment timing of the firm about adopting the existing new technology is influenced by the rival's actions and technological progress. This paper employs option games appr...In dynamic uncertain environments, the investment timing of the firm about adopting the existing new technology is influenced by the rival's actions and technological progress. This paper employs option games approach to present a simplified duopoly continuous time model of technology adoption. In the model, the irreversible investment in adoption of the existing new technology is in strategic competitive circumstances and facing the threat of a further new technology after the competition setting is established. The purpose of the paper is to examine the effect of technological displacement on firms' strategic investment. The results show that rapid displacement of the technology encourages the leader's investment and discourages the follower's investment. Comparing with the optimal timing without the expectation of a further new technology, the firm hastens to invest when no firm has invested; however, once one firm has invested first, the firm will delay its investment. Using mixed strategy analysis, competitive investment strategies with sequential exercise and simultaneous exercise are derived.展开更多
This article analyzes R ＆ D investment decisions in an asymmetrical case. The investment decisions share three important characteristics. First, the investment is completely irreversible. Second, there are two kinds ...This article analyzes R ＆ D investment decisions in an asymmetrical case. The investment decisions share three important characteristics. First, the investment is completely irreversible. Second, there are two kinds of uncertainties over the future returns from the investment and over technology in R ＆ D process, respectively. Third, there is strategic competition in the asymmetrical case. This article presents the optimal investment threshold values and the optimal investment rule of high-efficient firm （leader）, and shows that the investment threshold values are reduced by competition of two firms. Finally, the mixed investment strategies for two firms, the probability that each firm separately exercises the option to invest, and the probability that two firms simultaneously exercise the option are given in the paper.展开更多
文摘The real option game theory is a new effective method to analyze the project investment decision containing uncertain factors in the incomplete competition circumstance. Based on the introduction of the development of real option game method, this paper puts forward a real option game model to research on the investment opportunity and investment strategy of technology innovation involved two competitors. The varies of the value of project bring on three kinds of game equilibrium, that is the corporate investment equilibrium strategy, the leader ＆ follower investment equilibrium strategy and the corporate delay equilibrium strategy.
文摘Aiming at the public sector and the private sector in PPP projects as the research objects, the two core participants investment decision model is established by using option game thinking. First, based on the option game features PPP projects have, the paper proposes some research hypotheses on value, income, cost for the option. Second, on the basis of the decision path of a multi-stage binary tree model, respectively for the public sector and the private sector, the paper builds up utility functions, the cost-input model and the contract decision model. It indicates that by the use of growth options in the shortened contract period, the private sector can still ensure the construction quality of the PPP project. Finally, the validity of the model in the PPP project agreement and the investment decision process is verified by the case analysis.
文摘Game option is an American-type option with added feature that the writer can exercise the option at any time before maturity.In this paper,we consider the problem of hedging Game Contingent Claims(GCC)in two cases.For the case that portfolio is unconstrained,we provide a single arbitrage-free price P_(0).Whereas for the constrained case,the price is replaced by an interval[h_(low),h_(up)]of arbitrage-free prices.And for the portfolio with some closed constraints,we give the expressions of the upper-hedging price and lower-hedging price.Finally,for a special type of game option,we provide explicit expressions of the price and optimal portfolio for the writer and holder.
基金the National Natural Science Foundation of China under Grant 70071012
文摘In dynamic uncertain environments, the investment timing of the firm about adopting the existing new technology is influenced by the rival's actions and technological progress. This paper employs option games approach to present a simplified duopoly continuous time model of technology adoption. In the model, the irreversible investment in adoption of the existing new technology is in strategic competitive circumstances and facing the threat of a further new technology after the competition setting is established. The purpose of the paper is to examine the effect of technological displacement on firms' strategic investment. The results show that rapid displacement of the technology encourages the leader's investment and discourages the follower's investment. Comparing with the optimal timing without the expectation of a further new technology, the firm hastens to invest when no firm has invested; however, once one firm has invested first, the firm will delay its investment. Using mixed strategy analysis, competitive investment strategies with sequential exercise and simultaneous exercise are derived.
基金This work is supported by Post Doctor Science Foundation of China(2003034479)Natural Science Foundation of China(70671047)
文摘This article analyzes R ＆ D investment decisions in an asymmetrical case. The investment decisions share three important characteristics. First, the investment is completely irreversible. Second, there are two kinds of uncertainties over the future returns from the investment and over technology in R ＆ D process, respectively. Third, there is strategic competition in the asymmetrical case. This article presents the optimal investment threshold values and the optimal investment rule of high-efficient firm （leader）, and shows that the investment threshold values are reduced by competition of two firms. Finally, the mixed investment strategies for two firms, the probability that each firm separately exercises the option to invest, and the probability that two firms simultaneously exercise the option are given in the paper.
