In dynamic uncertain environments, the investment timing of the firm about adopting the existing new technology is influenced by the rival's actions and technological progress. This paper employs option games appr...In dynamic uncertain environments, the investment timing of the firm about adopting the existing new technology is influenced by the rival's actions and technological progress. This paper employs option games approach to present a simplified duopoly continuous time model of technology adoption. In the model, the irreversible investment in adoption of the existing new technology is in strategic competitive circumstances and facing the threat of a further new technology after the competition setting is established. The purpose of the paper is to examine the effect of technological displacement on firms' strategic investment. The results show that rapid displacement of the technology encourages the leader's investment and discourages the follower's investment. Comparing with the optimal timing without the expectation of a further new technology, the firm hastens to invest when no firm has invested; however, once one firm has invested first, the firm will delay its investment. Using mixed strategy analysis, competitive investment strategies with sequential exercise and simultaneous exercise are derived.展开更多
Game option is an American-type option with added feature that the writer can exercise the option at any time before maturity.In this paper,we consider the problem of hedging Game Contingent Claims(GCC)in two cases.Fo...Game option is an American-type option with added feature that the writer can exercise the option at any time before maturity.In this paper,we consider the problem of hedging Game Contingent Claims(GCC)in two cases.For the case that portfolio is unconstrained,we provide a single arbitrage-free price P_(0).Whereas for the constrained case,the price is replaced by an interval[h_(low),h_(up)]of arbitrage-free prices.And for the portfolio with some closed constraints,we give the expressions of the upper-hedging price and lower-hedging price.Finally,for a special type of game option,we provide explicit expressions of the price and optimal portfolio for the writer and holder.展开更多
基金the National Natural Science Foundation of China under Grant 70071012
文摘In dynamic uncertain environments, the investment timing of the firm about adopting the existing new technology is influenced by the rival's actions and technological progress. This paper employs option games approach to present a simplified duopoly continuous time model of technology adoption. In the model, the irreversible investment in adoption of the existing new technology is in strategic competitive circumstances and facing the threat of a further new technology after the competition setting is established. The purpose of the paper is to examine the effect of technological displacement on firms' strategic investment. The results show that rapid displacement of the technology encourages the leader's investment and discourages the follower's investment. Comparing with the optimal timing without the expectation of a further new technology, the firm hastens to invest when no firm has invested; however, once one firm has invested first, the firm will delay its investment. Using mixed strategy analysis, competitive investment strategies with sequential exercise and simultaneous exercise are derived.
文摘Game option is an American-type option with added feature that the writer can exercise the option at any time before maturity.In this paper,we consider the problem of hedging Game Contingent Claims(GCC)in two cases.For the case that portfolio is unconstrained,we provide a single arbitrage-free price P_(0).Whereas for the constrained case,the price is replaced by an interval[h_(low),h_(up)]of arbitrage-free prices.And for the portfolio with some closed constraints,we give the expressions of the upper-hedging price and lower-hedging price.Finally,for a special type of game option,we provide explicit expressions of the price and optimal portfolio for the writer and holder.
