| 在投资项目时间有限情况下的期权博弈 |
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| 引用本文： | 王小柳,张曙光.在投资项目时间有限情况下的期权博弈[J].系统工程理论与实践,2011,31(2):247-251. |
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| 作者姓名： | 王小柳 张曙光 |
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| 作者单位： | 中国科学技术大学 统计与金融系, 合肥 230026 |
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| 摘 要： | 文章讨论了不确定条件下,投资项目时间有限情况下,两企业在不同竞争环境下投资决策的期权博弈模型.求解出企业在不同竞争环境下投资临界值和企业的价值,通过数值释例和Matlab仿真计算验证结论.结果表明跟随者的投资临界值受投资项目时间的影响:随着时间的增大,增加跟随者的投资价值,加速其投资.在新市场模型下,随着市场的不确定性因素波动率的提高,减速了企业的投资.
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| 关 键 词： | 投资决策 实物期权 期权博弈 投资项目时间有限 |
| 收稿时间： | 2009-9-15 |
Option games in finite investment project life |
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| WANG Xiao-liu,ZHANG Shu-guang.Option games in finite investment project life[J].Systems Engineering —Theory & Practice,2011,31(2):247-251. |
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| Authors: | WANG Xiao-liu ZHANG Shu-guang |
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| Institution: | Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China |
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| Abstract: | Investment projects are considered to have a finite life because of fast-changing technology environment, economic environment and policy environment. It analyzed the influence of finite project life on firms' investment strategies under uncertainty．It solved investment threshold of the firms and value of the firms in different competitive environment. It used a numerical example and Matlab software to verify the results. It shows that the follower investment threshold is sensitive to the change of the project life: Increasing investment project life raises the value of investment and accelerates the follower's investment. In new market, increasing volatility of uncertainty decelerates the firms' investment. |
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| Keywords: | investment decision real options option games finite investment project life |
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