技术不确定的研发项目投资时机期权博弈分析被引量：9

Option-game analysis for the entrance time of R&D projects investment under technologic uncertainty

导出

摘要抢先还是等待?研发项目投资时机的期权博弈分析表明,单头垄断时,企业只要考虑延迟投资带来的价值;而双头垄断可以有两种均衡:合作投资价值VC始终大于先动投资价值VL时,合作投资是均衡,但会晚于单头垄断时;VC与VL存在交点时则形成先动者-跟随者均衡,竞争将投资临界点提前。 To be preemptive or waiting？ The analysis on the entrance time of R＆D project investment using option - game theory shows that the monopoly considers only the value of deferred investment. But there are two types of equilibriums for the duopoly, namely, the cooperative investment equilibrium which is invested later than that for the monopoly when the value of cooperation is always larger than that of preemption investment; and the leader - follower equihbrium when the two types of investment values have an intersection. Moreover, the critical point of investment is advanced because of the competition.

作者夏轶群陈俊芳

机构地区上海交通大学安泰经济与管理学院

出处《科研管理》 CSSCI 北大核心 2009年第2期126-130,共5页 Science Research Management

基金国家自然科学基金[70572103]<基于知识竞争力增长的我国制造企业价值链优化模型研究> 起止时间:2006年1月至2008年12月

关键词研发项目投资时机期权博弈均衡 R＆D project entrance time option - game equilibrium

分类号 F272.3 [经济管理—企业管理]

引文网络
相关文献

参考文献19

1Smets F R. Exporting versus FDI: the effect of uncertainty, irreversibilities and strategic interact ions[ R]. Yale University. 1991.
2Smit, Han T J , Ankum L A. A real options and game theoretic approach to corporate investment strategy under competition [J ]. Financial Management. 1993, (22) : 241 -250.
3Huisman, Kort. Effect of strategic intract ions on the option value of waiting[ R]. Tilburg University. 1999.
4Weeds H. Strategic delay in a real options model of R&D competition [ R]. The University of Warwick. 2002.
5Huisman K J M. Technology investment: a game theoretic real options approach [ M ]. Boston: Kluwer Academic Pub. 2001.
6Pawlina G, Kort PM. Real opt ions in an asymmetric duopoly: who benefits from your competitive disadvantage? [ R]. Tilburg University. 2002.
7McDonald R. L. , D. R. Siegel. The value of waiting to invest [ J] . Quarterly Journal of Economics. 1986 , 101 (4) : 707 - 727.
8Pindyck R. Irreversible investment, capacity choice, and the value of the firm [ J]. American Economic Review. 1988,78 (5) :969-985.
9Dixit A. Entry and exit decisions under uncertainty [ J ]. Journal of Political Economy. 1989, 97(6) :620 -638.
10Smets, Frank. exporting versus foreign direct investment : The Effect of Uncertainty , irreversibilities and strategic interactions [ R]. Yale University. 1991.

二级参考文献24

1[1]Brennan M J, Schwartz E S. Evaluating natural resource investments[J]. Journal of Business, 1985, (58):138-157.
2[2]McDonald Robert, Siegel D. Investment and the valuation of firms when there is an option to shutdown[J]. International Economic Review, 1985, (26):331-349.
3[3]Grenadier Steven R. Option exercise games: an application to the equilibrium investment strategies of firms[J]. Review of Financial Studies, 2002, (15): 691-721.
4[4]Dixit A K, Pindyck R S. Investment under uncertainty[M]. Princeton: Princeton University Press, 1994.
5Benninga S, Tolkowsky E. Real option-an introduction and application to R&D valuation[J]. The Engineering Economist, 2032, 47(2):105-150.
6Schwartz E S, Gorostiza C Z. Investment under uncertainty in information technology: Acquisition and development projects[J].Management Science, 2003, 49 ( 1 ) : 57-70.
7Herath E S H, Park C S. Multi-stage capital investment opportunities[J]. The Engineering Economist, 2002, 47(1): 11-26.
8Weeds H. Strategic delay in a real options model of R&D competition[J]. Review of Economic Studies, 2002, 69: 729-747.
9Grishagin V A, Sergeyev Y D, Silipo D B. Firms R&D decisions under incomplete information[J]. European Journal of Operational Research, 2001, 29(1): 414-433.
10Xue M G, Li C L. Heterogeneous information arrival and R&D option pricing[J]. Acta Mathematica Scientia(Quarterly), 2003, 23 (1) : 124-132.