Measuring Risk under Uncertainty and Competition, Game Theotetical Approach to Real Option Valuation

衡量不确定性和竞争下的风险，实物期权估值的博弈论方法

• 批准号: 17510128
• 负责人: FURUKAWA Koichi
• 金额: $ 2.3万
• 依托单位: Chuo University (2006-2007)Iwate Prefectural University (2005)
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2005
• 资助国家: 日本
• 起止时间: 2005 至 2007
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-17510128/
• 关键词: Valuation of Risk; Real Option; Simulation; Theory of Game; Valuation of Business; 新しい会社法

Iwate Prefectural Uniyersity, Depattment of Policy Studies, Assistant Professor The purpose of the research was to develop a valuation model of firms' projects under uncertainty and competition, incorporating the real option approach to game theory. The real option approach can take the value of flexibility embedded in the real investment into account while the game theory can analyze the effect of rival firms' behavior and derive the equilibrium strategy in the presence of the competition.We first extended the two-stage model, which was developed in our previous research, to a multi-stage decision model when the sequential and simultaneous games were considered that leads to the following two papers.A Numerical Approach for Real Option Values and Equilibrium Strategies in a DuopolyThe Investment Game under Uncertainty : An Analysis of Equilibrium Values in the Presence of First or Second Mover AdvantageWe also examine a flexibility trap which represents a phenomenon where a player who … More has an option to invest lose her advantage just because she has the flexibility though the option always increases the value of the investment for the firm if the competition is not considered . We published a paper.Real option and flexibility trap under competition(written in Japanese)in which the equilibrium selection theory is used to lead the unique outcome corresponding to a flexibility trap. Our research contribution has presented in many places that includes four years consecutive presentations at Annual Real Options Conference held all over the world. Furthermore, the head investigator organized workshops in 2005(Workshop on Measuring Risk under a competitive environment at Iwate Prefectural University)and in 2006(Workshop on Real Options and Game Theory at Chuo University)where all the members of this project talked each research contribution, respectively.The investigators of this research helped establish a new academic society The Japan Association of Real Options and Strategy(JAROS), which was established in 2006. They are now leading members of the association who also join the management of the committee. Less

岩手县立大学政策研究系助理教授研究的目的是开发一个在不确定性和竞争下的企业项目的评估模型，将实物期权方法与博弈论结合起来。实物期权方法可以利用灵活性的价值。嵌入到实际投资中，而博弈论可以分析竞争对手行为的影响并得出竞争存在下的均衡策略。我们首先将我们之前的研究中开发的两阶段模型扩展到多阶段决策考虑顺序博弈和同时博弈时的模型导致了以下两篇论文。双头垄断中实物期权价值和均衡策略的数值方法The Investment Game under Uncertainty : An Analysis of Equilibrium Values in the Presence of First or后发优势我们还研究了灵活性陷阱，它代表了一种现象，即拥有投资选择权的玩家失去了优势，只是因为她拥有灵活性，尽管该选择权总是会增加投资价值我们发表了一篇论文《竞争下的实物期权和灵活性陷阱》（日语），其中均衡选择理论被用来引导与灵活性陷阱相对应的独特结果。此外，首席研究员还于 2005 年（岩手县立大学竞争环境下衡量风险研讨会）和 2006 年（关于竞争环境下的风险衡量研讨会）组织了研讨会。中央大学实物期权与博弈论），该项目的所有成员分别讨论了每项研究贡献。这项研究的研究者帮助建立了一个新的学术协会日本实物期权与策略协会（JAROS），该协会成立于2006年，他们现在是协会的领导成员，同时也加入了委员会的管理。

项目成果

リアルオプションとゲーム理論:コミットメントかオプションか

实物期权和博弈论：承诺还是期权？

• 发表时间: 2007
• 作者: 渡辺 隆裕

リアルオプションとゲーム理論の融合による投資評価

实物期权与博弈论相结合的投资评估

• 发表时间: 2006
• 作者: 渡辺 隆裕

Cheating in Second Price Auctions with Affiliated Values

在具有附属价值的二价拍卖中作弊

• 发表时间: 2006
• 作者: Yamato Takehiko;Takahiro Watanabe
• 通讯作者: Takahiro Watanabe

Two-Stage Lotteries and Exponential Probability Capacities

两阶段彩票和指数概率能力

• 发表时间: 2007
• 作者: Nobuo Koida

Two-Stage Lotteries and Exponential Probability Capacities

两阶段彩票和指数概率能力

• 发表时间: 2007
• 作者: Nobuo Koida