OPTION EXERCISE GAMES: THE INTERSECTION OF REAL OPTIONS AND GAME THEORY
OPTION EXERCISE GAMES: THE INTERSECTION OF REAL OPTIONS AND GAME THEORY
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期权行使博弈：实物期权与博弈论的交叉点
DOI：
10.1111/j.1745-6622.2000.tb00057.x
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发表时间：
2000
影响因子：
0.9
通讯作者：
Steven R. Grenadier
中科院分区：
文献类型：
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作者：
Steven R. Grenadier
虽然实物期权方法在提供分析投资决策时机的分析框架方面已被证明是有用的，但该方法的一个显著缺陷是几乎完全缺乏战略考虑。在标准实物期权模型中，投资（和行使）策略是孤立地进行模拟的，没有考虑其他公司行使策略的潜在影响。本文阐述了实物期权和博弈论的交叉如何为不确定性下经济主体的行为提供了强有力的新见解。将战略考虑引入实物期权框架可以导致对标准实物期权分析的重新思考。例如，实物期权文献中经常引用的结论之一是推翻了立即投资于任何具有正NPV的项目的标准资本预算规则。由于资产的未来价值是不确定的，因此将投资推迟到条件更有利的时候可能会有很大的好处。但这一结果显然取决于缺乏对项目的竞争性准入。如果公司害怕先发制人，那么等待的选择就变得不那么有价值了。例如，虽然标准的房地产操作模型表明，房地产开发商应该等到开发选择相当“有钱”时，但竞争和对先发制人的恐惧可能会迫使开发商更早地建造。
While the real options approach has proven useful in providing an analytical framework for analyzing the timing of investment decisions, a notable failure of the approach has been an almost complete lack of strategic considerations. In standard real options models, invest‐ment (and exercise) strategies are for‐mulated in isolation, without considering the potential impact of other firms' exercise strategies. This paper illustrates how the intersection of real options and game theory provides powerful new insights into the behavior of economic agents under uncertainty. Introducing strategic considerations into the real options framework can lead to a rethinking of standard real option analysis. For example, one of‐ten cited conclusion of the real options literature is the overturning of the standard capital budgeting rule of in‐vesting immediately in any project with a positive NPV. Because the fu‐ture value of the asset is uncertain, there may be significant benefits to deferring the investment until condi‐tions prove even more favorable. But this result clearly depends on the lack of competitive access to the project. If firms fear preemption, then the option to wait becomes less valuable. For example, while the standard real op‐tions models suggest that a real estate developer should wait until the devel‐opment option is considerably “in the money,” competition and the fear of preemption will likely force develop‐ers to build much earlier.