不完全信息条件下企业R&D最优投资时机的期权博弈分析被引量：36

Analyzing Optimal Timing of Firm's R&D Investment under Incomplete Information in a Real Options and Game-theoretic Framework

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摘要运用实物期权与博弈论相结合的方法,研究在不确定的竞争环境和不完全信息条件下企业R&D投资的最优时机.通过假设企业不知道竞争对手的抢先投资临界值但知道其概率分布引入不完全信息.研究表明,不完全信息减缓了竞争对企业R&D投资等待期权价值的侵蚀,从而延缓了企业的R&D投资.企业R&D投资的最优时机取决于企业对竞争对手抢先投资危险率的推测,危险率越高,投资越早. This paper examines the optimal timing of firm＇s R＆D investment under uncertainty in a real options and game-theoretic framework. We incorporate incomplete information into the model by assuming that a firm does not know rival＇s investment threshold but know its distribution. We find that incomplete information restrains the competition from undermining the waiting option value and delays the firm＇s R＆D investment. The optimal timing of firm＇s R＆D investment is determined by its conjecture about rival＇s hazard rate： the more the hazard rate is, the earlier the firm invests.

作者吴建祖宣慧玉

机构地区西安交通大学管理学院

出处《系统工程理论与实践》 EI CSCD 北大核心 2006年第4期50-54,共5页 Systems Engineering-Theory & Practice

关键词最优时机不完全信息期权博弈研究与开发危险率 optimal timing incomplete information option game R＆D hazard rate

分类号 F830.59 [经济管理—金融学]

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