基于期权博弈的公司投资时机分析  

Option Games Analysis of Company Investment Timing Decision-Making

作　　者：王五祥[1] 王建中[2] 刘冰[3] 

机构地区：[1]河北农业大学经贸学院,河北保定071001 [2]西南财经大学会计学院,四川成都610074 [3]保定城乡建筑设计院,河北保定071000

出　　处：《北京交通大学学报（社会科学版）》2007年第1期58-61,共4页Journal of Beijing Jiaotong University(Social Sciences Edition)

基　　金：河北省教育厅软科学计划资助项目(SZ050207)

摘　　要：实物期权理论方法强调项目投资的不可分割性与投资成本的不可逆性,实物期权的共享特征将导致项目的延迟期权价值受到侵蚀,降低投资阈值。本文利用资本预算理论、实物期权方法与博弈论对双寡头投资时机进行动态时机博弈分析,研究了存在可变成本情形下的最优投资临界值,对连续时间随机微分博弈行为进行探讨,将行为金融理论运用投资决策,研究了投资者情绪以及心理帐户对投资阈值的影响。Real option approach emphasizes the indivisibility and irreversibility of investment project, indivisibility often implies a limited number of players, hence presumes the exist of imperfect competition. The impact of competitive interactions among competitors drastically erodes the value of the option to wait and leads to investment at very low value threshold. In this paper the main contributions to the joint of capital budget and the real option approach as well as the game theory to analyse investment valuation and investment timing under duopoly. Researching the optimal investment critical value under considering the volatile cost. Stochastic Differential Games in continuotts-time among competitors are analyzed, apply the behavioral finance approach into project investment practice, the relation between investment threshold and the investor mood and the mental accounting option pricing approach was analyzed.

关 键 词：随机微分博弈 实物期权 触发战略 不可逆投资 心理账户 

分 类 号：F830.59[经济管理—金融学]