Option Exercise Games in Spatial Economies

本研究由两部分组成。第一部分发展了一个理论来解释动态不确定条件下寡头垄断企业的战略行为。“期权博弈论”)。具体地说，我们考虑了寡头垄断企业生产具有随机需求波动的单一商品的动态均衡策略，假设每个企业都可以随时改变其战略变量(如产出价格水平)。建立了均衡策略与随机状态变量之间的依赖关系，结果表明，均衡策略与随机状态变量之间的依赖关系取决于商品需求是互补的还是替代的。此外，我们还揭示了均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，我们考虑了在随机经济因素导致的利润风险下，房东和具有进入和退出选择权的公司之间的区位均衡。研究揭示了动态均衡的几个性质：1)房东的均衡策略是当经济因素的波动性足够低时允许企业立即进入(位于土地上)；2)在均衡中，在企业的自由退出规则下，房东随着波动性的增加而提高租金，以弥补由于企业退出风险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房东的福利，也改善了企业的福利(即：帕累托改进)，因为在禁令规则下，房东可以降低租金水平，这使公司比拥有退出选择权的公司支付更高的均衡租金更好。

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.