不确定条件下双头垄断期权博弈  

Research for Models of Duopoly Option Game under Uncertainty

作　　者：孟力[1] 孙威[2] 汪定伟[1] 

机构地区：[1]东北大学信息科学与工程学院,沈阳110006 [2]沈阳工业大学管理学院,沈阳110023

出　　处：《系统工程理论方法应用》2006年第1期20-25,共6页Systems Engineering Theory·Methodology·Applications

基　　金：国家自然科学基金资助项目(60084003)

摘　　要：期权博弈理论是实物期权和博弈论相结合的产物,它具有极大的应用潜力。期权博弈模型不仅考虑了投资决策关键因素,同时在模型中还着重分析了双方竞争应用的策略及可能出现的纳什均衡解。研究了不确定性条件下的对称双头垄断期权博弈模型,仿真计算并用图形说明了有关参数的改变对公司价值的影响,推导了两种方法计算领导者和跟随者公司的价值和临界值,讨论了非限制合作下纳什均衡解和解存在的条件与假设。讨论的观点结论对于研究我国当前市场经济条件下不确定投资问题具有理论实践指导意义。The theory of option games being the combination of two successful theories, namely real options and game theory, has a great potential to applications in many real situations. It considers in the same model, besides the key factors for investment decisions such as uncertainty, flexibility, and timing, the effect of competition with the possible strategies for each firm. In this paper, we analyze models of symmetrical duopoly under uncertainty and illuminate the effect of risk-free and assets volume variation impact on investment decision by using Matlab software to simulate the case, meanwhile show that there are two equivalent ways to calculate both leader and follower values, and two ways to calculate the follower threshold. We discuss concepts like the preemption, non-binding collusion. The paper＇s work will contribute to our present investment practice.

关 键 词：实物期权 随机博弈论 期权博弈论 不确定性下的双头垄断 先动优势 

分 类 号：F235.2[经济管理—会计学]