主管：中国科学院
主办：中国优选法统筹法与经济数学研究会
　　　中国科学院科技战略咨询研究院
中国管理科学

中国管理科学 ›› 2006, Vol. ›› Issue (5): 33-37.

• 论文 • 上一篇    下一篇

不确定环境下研发投资决策的期权博弈模型

黄学军, 吴冲锋   

  1. 上海交通大学安泰经济与管理学院, 上海, 200052
  • 收稿日期:2005-12-02 修回日期:2006-09-12 出版日期:2006-10-28 发布日期:2012-03-07
  • 基金资助:
    国家自然科学基金重点资助项目(70331001)

Option Game Model on R&D Investment Decision under Uncertainty

HUANG Xue-jun, WU Chong-feng   

  1. The Aetna School of Economic and Management, Shanghai Jiaotong University, Shanghai 200052, China
  • Received:2005-12-02 Revised:2006-09-12 Online:2006-10-28 Published:2012-03-07

PDF (PC)

2069

被引次数

60

摘要： 假定产出价格(随机需求)服从带跳的几何布朗运动来模拟研发项目中突发事件和市场的不确定性特点,拓展了用几何布朗运动模拟市场不确定性的双寡头期权博弈模型,同时也是在带跳的几何布朗运动的实物期权方法中融入了竞争策略互动的影响.敏感性分析结果表明随着这两类不确定性的增大,参与双方进入门槛值都变大.突发事件带来的不确定提高会使得参与双方的期权价值降低,但是市场的不确定性变大对于追随者来说等待是有价值的,对领先者的期权价值的影响却是不定的.

关键词: 期权博弈, 跳扩散, 不确定, 突发事件

Abstract: Assuming that production price(stochastic demand) follows geometric Brown motion with jumps,uncertainty features coming from sudden events and future market in the research and development projects can be simulated.Previous duopoly option game models in which the stochastic demand follows geometric Brown motion to simulate market uncertainties are extended.In the same time,real option approach under geometric Brown motion with jumps merges with the competition strategic interaction.And sensitivity analyses show that different uncertainties effect on research and development projects option value and the participants' entry threshold.The more is uncertainty,the more is participants' threshold.Sudden events occurring can reduce the project option value.If market uncertainty is lager,the follower's option value will increase,but the leader's value does not always increase.

Key words: option game, jump diffusion, uncertainty, sudden events

中图分类号: