基于期权差异的不对称双寡头投资决策模型

An asymmetric duopoly investment decision-making model based on difference of option

在考虑建设时间、经营成本、投资成本和政府补贴均不对称的情况下,运用不对称双寡头实物期权博弈模型,构建了一个企业拥有暂停期权而另一个企业无暂停期权的双寡头企业投资决策模型.对存在的同时投资均衡、序贯投资均衡和抢先投资均衡进行了分析,给出了不同均衡情况下的企业投资策略并对其影响因素进行了分析.分析表明:暂停期权能够提高企业的投资价值;无暂停期权企业的投资临界值与经营成本、投资成本、建设时间和产品价格波动呈正相关,与政府补贴呈负相关;有暂停期权企业的投资临界值与经营成本、价格波动呈正相关,与政府补贴低于某一限额时呈负相关、高于某一限额时呈正相关,与投资成本和建设时间无明显相关关系;经营成本、政府补贴和价格波动对跟随投资临界值的影响程度大于对领先投资临界值的影响程度,对无暂停期权企业投资临界值的影响程度大于对有暂停期权企业投资临界值的影响程度.

Abstract Based on the asymmetric time-to-build, operating costs, investment costs and government subsidies, this paper uses an asymmetric duopoly real option game model to construct an investment decision-making model of duopoly where one firm has mothballing options and the other does not. The paper discusses and analyzes three types of investment equilibrium, namely simultaneous, sequential and preemptive investment equilibrium, provides some enterprise investment strategies in different equilibrium situations, and analyzes their influences. The analyses show that the mothballing option can improve the firm＇s investment value; the investment threshold of the firm not having a mothballing option has a positive relationship with operating costs, investment costs, time-to-build and price fluctuation of the product, and is negatively related to government subsidies; the investment threshold of the firm having a mothballing option has a positive relationship with operating costs and price fluctuation of the product, and is negatively related to government subsidies when the government subsidies are lower than the quota and is positively related when the government subsidies are higher than the quota, and has no obvious relationship with investment costs and time-to-build; the operating costs, government subsidies and price fluctuation have a greater influence on the follow investment threshold than on the lead investment threshold, and have a greater influence on the investment threshold of the firm that has no mothballing option than that of the firm that does.