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

研究的目的是建立一个模型来评估企业在不确定性和竞争下的项目价值。这可以通过将最近被纳入公司金融领域的实物期权方法与博弈论相结合来实现。此外，本研究还试图建立一个可用于企业实际项目价值计算的实用模型。作为研究的第一步，我们建立了需求不确定性下的两公司两阶段投资模型，并分析了两公司的项目价值和均衡策略。我们证明了任何均衡策略都可以用它们的投资成本来表征。关于决策的时间，同时决策和顺序决策都进行了研究。主要结果分别总结为以下两篇论文：1。与博弈论相结合的实物期权——两阶段投资博弈分析2。“实物期权分析中的两阶段投资博弈”这些研究清楚地指出了一种新的情况，这就是所谓的“灵活性陷阱”。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，我们正在等待推荐人的报告。作为研究的第二步，我们已经开始开发多阶段模型，以便在实际业务中实际使用。初步结果写在1993年。实物期权分析中的多阶段投资博弈研究。我们目前正在与相应的连续时间模型进行比较，进行灵敏度分析，分析均衡策略和最优值。我们还考虑了软件的实施，以支持竞争企业的决策。

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.