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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.

本研究旨在建立一个模型来评估不确定性和竞争条件下企业的项目价值。这可以通过结合真实的期权方法来完成，该方法最近已被纳入公司融资领域，与博弈论。此外，本研究试图建立一个实用的模型来计算企业的实际项目价值，作为研究的第一步，我们建立了一个两个公司，两个阶段的投资模型下的需求不确定性和分析的项目价值和均衡策略，为双方公司。我们证明了任何均衡策略都可以用它们的投资成本来刻画。关于决策的时间，同时决策和顺序决策都进行了研究。主要研究结果分别归纳为以下两篇论文.“真实的期权与博弈论相结合--一个两阶段投资博弈分析--2.“真实的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，这就是所谓的灵活性陷阱，这是没有研究指出的。这种局面的出现是两种不同理论相结合的结果。这些论文已经提交，我们正在等待专家的报告。作为研究的第二步，我们已经开始开发多阶段模型，用于实际业务中的实际应用。初步结果写在3。真实的期权分析中的多阶段投资博弈作为工作论文，我们目前正在进行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。我们还考虑了软件的实施，以支持竞争企业的决策。