不确定条件下投资战略期权博弈分析

实物期权方法用于不确定条件下投资,忽略竞争者之间的相互作用,竞争导致期权价值侵蚀而使投资者投资阀值降低。期权博弈理论方法已成为金融经济学解决不确定条件下投资估价与决策的主流文献之一,它融合了两个成功的理论——实物期权理论与博弈论,该方法已被越来越多的理论工作者与实践家所采纳.本文对多寡头企业连续时间实物期权投资模型下的能力扩展与随机微分博弈行为及几个关键因素诸如不确定性、最优时机进行分析。

Option Games Analysis of Investment Strategies under the Condition of Uncertainty

Real option approach is used in the investment under the condition of uncertainty,which ignores the interactions among competitors.The impact of the competition drastically erodes the value of the option to wait and leads to the investment at the very low value threshold.The theory of option games approach for analyzing the investment under uncertainty has become part of the mainstream literature of financial economics and been the combination of the successful theories,namely real options and game theory.It has a great potential to applications in many real situations and has been adopted by the theorists and practitioners.Considering in the same model,the key factors for investment decisions such as uncertainty,flexibility,and optimization timing and the strategies of capacity expansion and Stochastic Differential Games in continuous-time among competitors are analyzed.