基于竞争格局的期权执行博弈

应用标准实物期权定价方法进行不确定性投资分析时，一般不考虑企业相互间竞争影响，孤立地制定其最佳执行策略．然而，现实的实物投资市场不可能这样孤立地制定执行策略，它必定是投资战略均衡中的一部分．竞争对执行策略的影响是十分明显的，例如，标准实物期权模型认为：一个有价值的“等待期权”会起到企业只对净现值为正的领域进行投资的作用．但竞争会弱化等待期权的价值，结果导致投资的净现值几乎为零．该文提出了一个可操作的方法，应用此方法可以从纳什连续时间状态模型中寻求竞争环境下的投资均衡战略．

Competition-Based Games for Future-Rights Execution

In the uncertainty analysis of investments based on future rights of standard materials, the effects of competitions between enterprises are generally ignored. In real investment markets for (materials,) however, it is unrealistic to make executive strategies in such an isolated manner. Any specific strategy must be a part of the entire strategic balance. The effects of competition upon execution of strategies are obvious. For example, in the future-rights model for standard materials, a valuable "would-be future rights" may cause an enterprise to invest only in fields where net-earning is positive. Nonetheless, competition can reduce the value of would-be future rights so that net-earning of the (investment) almost vanishes. A feasible approach is proposed in this paper, which can produce a proper strategy for investment balance under an environment of competition based on the Nash continuous time status model.