Option Exercise Games in Spatial Economies

空间经济中的期权行使博弈

• 批准号: 15360272
• 负责人: AKAMATSU Takashi
• 金额: $ 2.62万
• 依托单位: Tohoku University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (B)
• 财政年份: 2003
• 资助国家: 日本
• 起止时间: 2003 至 2004
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-15360272/
• 关键词: Real Option; Game Theory; Spatial Competition; Location Choice; Oligopoly; Dynamic Uncertainty; Entry and Exit; ゲーム理論; サブ・ゲーム完全均衡; 確率的制御; 微分ゲーム; 社会的最適状態

This study consists of two parts. The first part develops a theory that explains strategic behavior of oligopoly firms under dynamic uncertainty (ie. "option game theory"). Specifically, we consider dynamic equilibrium strategies of oligopoly firms producing a single commodity with random demand fluctuation, assuming that each firm can change its strategic variables (such as output price level) at any time. We find a dependence relation of the equilibrium strategies and stochastic state variables, and show that the result dramatically changes depending on whether commodity demands are complementary or substitute. Furthermore, we reveal the clear relation between the equilibrium state and a socially optimum state. The second part studies several option games in a spatial economy. Specifically, we consider a location equilibrium between a landlord and a firm with entry and exit options under the profit risk due to stochastic economic factors. The study reveals several properties of the dynamic equilibrium : 1)the landlord's equilibrium strategy is to permit the firm's entry (locate at the land) immediately when the volatility of the economic factor is sufficiently low, 2)in the equilibrium under the firm's free exit rule, the landlord raises the rent as the volatility increases to cover the decrease in his expected revenue due to the increase in the risk of firm's exit, 3)banning the firm from exiting improves not only the welfare of landlord but also that of firms (ie. Pareto improvement) because, under the banning rule, the landlord can decrease the rent level, which makes the firm better off than the firm having an exit option paying a higher equilibrium rent.

本研究由两部分组成。第一部分发展了一个理论，解释动态不确定性（即不确定性）下寡头垄断企业的战略行为。期权博弈论（Option Game Theory）具体地说，我们考虑的寡头垄断企业生产一种商品的随机需求波动的动态均衡策略，假设每个企业可以改变其战略变量（如产出价格水平）在任何时候。我们发现了一个依赖关系的均衡策略和随机状态变量，并表明，该结果显着变化取决于商品需求是互补的或替代。此外，我们揭示了平衡状态和社会最优状态之间的明确关系。第二部分研究了空间经济中的几种期权博弈。具体地说，我们考虑了一个位置之间的平衡，业主和企业的进入和退出选项的利润风险，由于随机经济因素。该研究揭示了动态平衡的几个特性：1）地主的均衡策略是允许企业进入（位于土地上），当经济要素的波动性足够低时，2）在企业自由退出规则下的均衡中，随着波动性的增加，房东会提高租金，以弥补由于公司退出风险的增加而导致的预期收入的减少，3）禁止企业退出不仅改善了地主的福利，也改善了企业的福利（即，帕累托改进），因为在禁止规则下，房东可以降低租金水平，这使得公司比有退出选择权的公司支付更高的均衡租金更好。

项目成果

Strategic Option Games with Variable Prices

可变价格的战略期权博弈

• 发表时间: 2003
• 期刊: The 17th Applied Regional Science Conference.
• 作者: Akiharu Munekata;Takashi Akamatsu
• 通讯作者: Takashi Akamatsu

経済リスクを考慮した社会基盤投資プロジェクトの動学的財務評価

考虑经济风险的社会基础设施投资项目动态财务评价

• 发表时间: 2004
• 期刊: 土木学会論文集 IV-62
• 作者: 赤松 隆;長江剛志
• 通讯作者: 長江剛志

Global Firms' Location and Regional Economic Risks

全球企业的地理位置和区域经济风险

• 发表时间: 2004
• 期刊: JSCE Journal of Infrastructure Planning and Management.
• 作者: Takashi Akamatsu;Akiharu Munekata;Yasushi Oba
• 通讯作者: Yasushi Oba

長江剛志, 赤松隆: "不完備市場リスク要因を考慮したリアル・オプション評価"応用地域学研究・論文集. 8(2). 81-93 (2003)

Tsuyoshi Nagae、Takashi Akamatsu：“考虑不完善市场风险因素的实物期权评估”，应用区域研究和论文 81-93 (2003)。

赤松隆, 棟方章晴: "価格変更ゲームにおけるオプション行使戦略"土木計画学研究・講演集. 28(CD). No.14 (2003)

赤松隆、宗像秋春：“价格变动博弈中的期权行使策略”土木工程规划研究与讲座第28期（CD）。