Option exercise games: an application to R&D competition project strategic investment in asymmetrical case

被引：0

作者：

Xue, MG ^{[1
]}

Gong, P ^{[1
]}

机构：

[1] Huazhong Univ Sci & Technol, Coll Management, Wuhan 430074, Peoples R China

来源：

PROCEEDINGS OF THE 2004 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, VOLS 1 AND 2 | 2004年

关键词：

option game; investment strategy; stopping time game; investment threshold value;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In asymmetrical case, the paper considers irreversible investment in competing research projects with uncertain returns. Uncertainty takes two distinct forms: the technological success of the project takes place randomly according to a Poisson distribution, while the economic value of the patent to be won evolves stochastically over time. This paper presents the optimal investment rule of high-efficient firm (leader), and showed that the investment threshold values are reduced by competition of two firms.

引用

页码：2271 / 2275

页数：5

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