R&D项目投资不对称双头垄断期权博弈模型  

An Option Game Model of R&D Investment for Asymmetric Duopoly

作　　者：孙艳梅[1] 孙长雄[1] 

机构地区：[1]哈尔滨工业大学经济与管理学院,黑龙江哈尔滨150001

出　　处：《中国软科学》2009年第S1期107-111,共5页China Soft Science

摘　　要：假定随机市场需求冲击符合带跳的几何布朗分布,建立初始投资成本和经营成本均不对称的双寡头垄断的期权博弈模型。给出3种均衡状态的价值函数和投资临界点,对均衡策略的发生形式和条件做出详细分析,并用静态比较的方法研究了投资成本、市场波动率、突发事件到达率对投资价值和投资临界点的影响。Assuming that the market stochastic demand follows geometric brown motion with down-jump-poisson process,provide option game model in duopoly which investment cost and operating costs are asymmetric.Deduce expressions of the firm′s value functions and optimal investment thresholds in the three states of equilibrium,analyze each type of equilibrium and the conditions under which each of them occurs.Furthermore,discuss the effect of investment costs、volatility and occurring rate of sudden events to investment value and thresholds.

关 键 词：双头垄断 期权博弈 跳扩散 经营成本 

分 类 号：F273.1[经济管理—企业管理] F224.32[经济管理—国民经济]