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

本研究的目的是建立一个在不确定性和竞争条件下的企业项目估值模型，将实物期权方法与博弈论相结合。实物期权方法可以考虑实际投资中嵌入的灵活性价值，而博弈论可以分析竞争对手行为的影响，并推导出存在竞争时的均衡策略。我们首先将在之前的研究中开发的两阶段模型扩展为多阶段决策模型，其中考虑了顺序和同时博弈，从而产生了以下两篇论文。不确定投资博弈下双头垄断企业实物期权价值与均衡策略的数值求解我们还研究了一个灵活性陷阱，它代表了一种现象，即一个玩家有一个投资的选择，只是因为她有灵活性而失去了她的优势，尽管如果不考虑竞争，这个选择总是会增加公司的投资价值。我们发表了一篇论文。竞争下的实物期权和灵活性陷阱（日语），其中均衡选择理论用于导致与灵活性陷阱对应的唯一结果。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实物期权会议上发表。此外，首席研究员在2005年（岩手县立大学竞争环境下的风险测量研讨会）和2006年（中央大学实物期权和博弈论研讨会）组织了研讨会，该项目的所有成员分别讨论了每个研究贡献。这项研究的研究人员帮助建立了一个新的学术团体——日本实物期权与策略协会（JAROS），该协会成立于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

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