企业投资决策的期权博弈分析

在分析不确定条件下的企业投资决策时,传统的净现值法存在很大的局限性.实物期权理论认为不确定性会使处于垄断地位的企的投资推迟.文中使用期权博弈理论,同时考虑不确定性和竞争等因素,对企业在不同条件下的投资决策进行了分析.对非垄断企业而言,推迟并不是最优的选择,企业的对称性和信息完备性会都对其投资战略和博弈均衡结果产生影响.

Option-game Analysis on the Investment Decision of Enterprise

In the analysis on the investment decision of enterprise under uncertainty, NPV is not applicable. From the view of the real option, uncertainty makes the monopoly enterprise delay the investment. This paper analyses the problem of investment decision under different assumptions in the option-game framework, taking the uncertainty and competition into account. Delay is not optimal for the non-monopoly enterprise. The symmetry and the information completeness of the enterprises will affect the investment strategic and equilibrium of the game.