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Measuring Risk under Uncertainty and Competition, Game Theotetical Approach to Real Option Valuation

衡量不确定性和竞争下的风险，实物期权估值的博弈论方法

基本信息

批准号：
17510128
负责人：
FURUKAWA Koichi
金额：
$ 2.3万
依托单位：
Chuo University (2006-2007)Iwate Prefectural University (2005)
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
2005
资助国家：
日本
起止时间：
2005 至 2007
项目状态：
已结题

来源：
https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-17510128/
关键词：
Valuation of Risk Real Option Simulation Theory of Game Valuation of Business 新しい会社法

项目摘要

Iwate Prefectural Uniyersity, Depattment of Policy Studies, Assistant Professor The purpose of the research was to develop a valuation model of firms' projects under uncertainty and competition, incorporating the real option approach to game theory. The real option approach can take the value of flexibility embedded in the real investment into account while the game theory can analyze the effect of rival firms' behavior and derive the equilibrium strategy in the presence of the competition.We first extended the two-stage model, which was developed in our previous research, to a multi-stage decision model when the sequential and simultaneous games were considered that leads to the following two papers.A Numerical Approach for Real Option Values and Equilibrium Strategies in a DuopolyThe Investment Game under Uncertainty : An Analysis of Equilibrium Values in the Presence of First or Second Mover AdvantageWe also examine a flexibility trap which represents a phenomenon where a player who … More has an option to invest lose her advantage just because she has the flexibility though the option always increases the value of the investment for the firm if the competition is not considered . We published a paper.Real option and flexibility trap under competition(written in Japanese)in which the equilibrium selection theory is used to lead the unique outcome corresponding to a flexibility trap. Our research contribution has presented in many places that includes four years consecutive presentations at Annual Real Options Conference held all over the world. Furthermore, the head investigator organized workshops in 2005(Workshop on Measuring Risk under a competitive environment at Iwate Prefectural University)and in 2006(Workshop on Real Options and Game Theory at Chuo University)where all the members of this project talked each research contribution, respectively.The investigators of this research helped establish a new academic society The Japan Association of Real Options and Strategy(JAROS), which was established in 2006. They are now leading members of the association who also join the management of the committee. Less

岩手县立大学政策研究科助理教授本研究的目的是将真实的期权方法与博弈论相结合，开发出在不确定性和竞争下企业项目的估价模型。真实的期权方法可以考虑真实的投资中隐含的灵活性价值，而博弈论可以分析竞争对手行为的影响并推导出存在竞争的均衡策略。我们首先扩展了我们之前研究中发展的两阶段模型，一个多-本文的主要工作是建立一个考虑序贯博弈和同时博弈的阶段决策模型，并给出了两个结果：一个求解多阶段博弈中真实的期权价值和均衡策略的数值方法双寡头不确定性下的投资博弈：第一或第二行动者竞争时的均衡价值分析我们还研究了一个灵活性陷阱，它代表了一种现象， ...更多信息拥有投资选择权的公司失去了优势，仅仅是因为她有灵活性，尽管如果不考虑竞争，选择权总是增加公司的投资价值。我们发表了一篇论文。竞争下的真实的期权和灵活性陷阱（用日语撰写），其中使用均衡选择理论来引导对应于灵活性陷阱的唯一结果。我们的研究成果已经在许多地方发表，包括连续四年在世界各地举行的年度真实的期权会议上发表演讲。此外，首席调查员在2005年组织了讲习班，（岩手县立大学竞争环境下的风险衡量研讨会）和2006年（中央大学真实的期权与博弈论研讨会），参与该研究的所有成员分别发表了各自的研究成果。该研究的研究人员帮助成立了一个新的学术团体“日本真实的期权与策略协会”（JAROS），成立于2006年。他们现在是协会的领导成员，也加入了委员会的管理。少