基于竞争互动的实物期权均衡执行战略研究

运用期权博弈方法,研究了成本不对称双头垄断企业战略投资决策问题.首先给出企业价值函数和投资临界值的显性表达式;分别针对正和负的外部性,对两企业实物期权均衡执行战略进行了深入研究,给出了均衡存在形式及其条件,以及各均衡最优投资策略规则;并探讨了不确定对投资临界值,以及不确定、先动优势及后动优势对均衡形成和企业投资时间间隔的影响;最后,通过数值释例给出了几个最优投资策略的精练纳什均衡解.

A Study on Equilibrium Real Option Exercise Strategies based on Competitive Interactions

Based on the options game this paper studies strategic investment in duopoly where the costs of the two firms are asymmetric.Firstly,the expressions of the firm's value functions and optimal investment thresholds are deduced.Secondly,the paper investigates the two firms' strategy equilibriums and their types and existing conditions with considering negative externalities and positive externalities prospectively.Thirdly,we also discuss the effect of uncertainty to investment thresholds and the impact of uncertainty,first-mover advantage and second-mover advantage on equilibrium results and investment interval.Finally,the existence of optimal Perfect-Nash Equilibrium strategies is proved further by a numerical analysis.