A Multi-Factor Decision-Making Model Based on Option Games
This paper provides a framework of asymmetric duopoly option game and discusses the optimal strategy decision rules in corporate investment under the stochastic conditions of both product demand and operation cost which are correlative. We analyze especially the equilibrium rules of optimal strategy and its conditions and make comparative static analyses to the influence of each parameter to optimal thresholds after educing investment value function and optimal investment threshold. The results show that the increase of uncertainty is not always to rise the optimal threshold when considering multi stochastic factors which are correlative. At last, some significant conclusions are made and explained, and the analytical result in theory is further verified and enriched by a numerical example, in which the influences of cost asymmetryfirst mover advantage and correlation of stochastic factors to the optimal threshold and the equilibrium result are analyzed respectively and deeply.
Investment Decision Real Options Option Games Duopoly
YU Dong-ping
Institute of National Defense Economy and Management, Central University of Finance and Economics, Beijing 100081, China
国际会议
2009年中国控制与决策会议(2009 Chinese Control and Decision Conference)
广西桂林
英文
2252-2257
2009-06-17（万方平台首次上网日期，不代表论文的发表时间）