Real Option Analysis with the Strategic Thinking -Risk Management under Competition-

战略思维下的实物期权分析-竞争下的风险管理-

基本信息

批准号：
14580482
负责人：
FURUKAWA Koichi
金额：
$ 2.11万
依托单位：
Iwate Prefectural University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
2002
资助国家：
日本
起止时间：
2002 至 2004
项目状态：
已结题

项目摘要

The purpose of the research was to develop a model to evaluate firms' project value under uncertainty and competition. This can by done by combining the real option approach which has been recently incorporated in the area of the corporate finance, with game theory. In addition the research attempted to develop a practicable model that can be used for calculating actual project values in the corporation.As the first step of the research we have developed a two-firms, two-stage investment model under the demand uncertainty and analyzed the project values and the equilibrium strategies for both firms. We show that any equilibrium strategies can be characterized by their investment cost. With respect to the timing of the decision both the simultaneous and the sequential decisions have been investigated. The main results are summarized into the following two papers, respectively.1. "Real option combined with game theory - Analysis of a two-stage investment game-2. "A Two-stage Investment Game in Real Option Analysis"These researches clearly indicate a new situation, which is called flexibility trap, where no research has been pointed out. The emergence of this situation results from the combination of the two different theories. These papers have been submitted and we are waiting for referees' report.As the second step of the research we have started to develop the multi-stage model for a practical use in the actual business. The preliminary results was written in3. A Multi-stage Investment Game in Real Option Analysis as a working paper.We are currently working on the comparison with the corresponding continuous-time model, a sensitivity analysis, an analysis of the equilibrium strategies and the optimal values. We also consider the implementation of the software to support competitive firms' decisions.

该研究的目的是开发一个模型来评估不确定性和竞争下企业的项目价值。这可以通过将最近纳入公司财务领域的实物期权方法与博弈论相结合来实现。此外，研究还试图开发一个实用的模型，用于计算公司的实际项目价值。作为研究的第一步，我们开发了需求不确定性下的两家公司、两阶段投资模型，并分析了项目价值和两家公司的均衡策略。我们证明任何均衡策略都可以通过其投资成本来表征。关于决策的时间安排，同时和顺序决策都进行了研究。主要结果分别归纳为以下两篇论文： 1．《实物期权与博弈论的结合——两阶段投资博弈的分析-2.《实物期权分析中的两阶段投资博弈》这些研究清楚地表明了一种新的情况，即灵活性陷阱，这是迄今为止尚未有研究的。指出这种情况的出现是两种不同理论结合的结果。这些论文已经提交，我们正在等待审稿人的报告。作为研究的第二步，我们已经开始开发多阶段模型。并在实际业务中得到了初步的运用。写在3.实物期权分析中的多阶段投资博弈作为工作论文。我们目前正在研究与相应的连续时间模型的比较，敏感性分析，均衡策略和最优值的分析。考虑实施该软件以支持竞争企业的决策。