市场需求与投资成本不确定条件下的双寡头期权博弈模型

Duopoly Option Game Model of Uncertain Market Demand and Investment Cost

近年来,企业在投资过程中面临着越来越多的对手竞争和不确定因素影响,使得投资企业难以快速决策从而抓住投资时机获取最大利益。针对这一问题,本文在假设市场需求与投资成本不确定的条件下,利用期权博弈方法,建立了先占和非先占情况下的双寡头期权博弈模型,得出了企业在各博弈模型中的价值函数和投资临界值,分析了相关参数对企业最优投资决策的影响。与以往研究文献不同,研究发现,在非先占博弈模型中,领导者的投资临界值存在需满足一定的条件。

Recent years, the problems of the competitions from rivals and the factors of increasingly uncertainty in the investment process make it difficult for investment firms to make quick decisions. Concerning this issue, this paper utilizes the method of option game,option game model in the case where preemptive and non preemptive are built under the uncertain conditions of market demand and investment cost, come to a conclusion that value function and investment threshold of firms in the game models, as well as analysis the influence of the relevant parameters of the firms optimal investment decisions. Unlike previous literature, this study has found that there exists a critical value of the non-preemptive game model leader in investment required to satisfy certain conditions.