【作者】 韩仁德；

【导师】 扈文秀；

【作者基本信息】 西安理工大学 ， 技术经济及管理， 2006， 硕士

【摘要】 期权博弈(Option Games)理论研究不确定条件下参与人之间的策略互动,它将实物期权方法和博弈论结合起来,解决企业在投资决策中所面临的等待以获得期权价值和抢先进入(投资)以获得先动优势、先发效应之间的冲突。对期权博弈进行分类、在不完全信息条件根据期权博弈的类型进行针对性研究不仅具有重要的理论和学术价值,而且能够使得期权博弈的研究更加接近投资实践,满足不同竞争环境下投资决策的需求,进一步推动期权博弈思想和方法向实际的应用,提高企业项目投资机会评价和决策的精度。本文首先根据实物期权种类将期权博弈分为增长期权博弈、等待期权博弈、放弃期权博弈和规模期权博弈;根据竞争特性将期权博弈分为抢滩型实物期权博弈、共享型实物期权博弈和占优型实物期权博弈。然后,在期权博弈分类与界定的基础上,本文在不完全信息条件下从产量策略选择和投资时机策略选择两个方面分别重点研究了共享型和占优型实物期权博弈,运用动、静态贝耶斯博弈理论分析了各自在不完全信息下的均衡策略,认为:(1)在不完全信息共享型实物期权博弈中,企业1按照利益最大化原则以及竞争对手(企业2)可能策略,会选择在YL 1执行投资期权成为市场的领导者,或者以在YF 1执行投资期权成为市场的追随者;企业2在相应成本类型下,按照利益最大化原则以及竞争对手(企业1)可能策略,会选择在YL 2(高或低成本类型下)执行投资期权成为市场的领导者,或者在YF 2h(高成本类型)或YF 2l(低成本类型)执行投资期权成为市场的追随者。(2)在不完全信息占优型实物期权博弈中,无论在高成本或低成本类型下,占优型企业1均选择在低成本类型下的投资阈值点进入市场,按照在低成本类型下的最佳垄断产量进行生产,成为市场的领导者;在观察到先行方企业1行动策略的基础上,追随者企业2按实物期权方法的投资决策基本规则,确定其进入市场的最佳投资时机;随后领导者与跟随者按照精炼贝耶斯纳什均衡产量进行生产,共同获得市场均衡收益。最后,在此均衡策略基础上,运用伊藤引理和动态规划知识建立了共享型和占优型实物期权博弈模型,包括领导者和追随者的实物期权价值、均衡收益现值与投资阈值等。更多还原

【Abstract】 Option games, investigating the mutual strategies between the participants under the uncertainty, combine the real option approach with games theory and then solve the conflict between gaining options value by waiting and postponing the investment and acquiring the preemptive advantage by preempting into market in the investment decisions. Classification into option games and pertinent investigation according to the its types are not only to have more theoretic and more academic value, but also to make the research into option games more close to investment practice, so as to satisfy the need of investment decisions under the different circumstance, to push the thinking of option games more forward to apply into investment practice and then to enhance the accuracy of enterprises estimating investment chances and making decisions.This article, firstly, respectively assorts option games into growing option games, waiting option games, quitting option games and scale option games according to varieties of the real options, and into preemptive real option games, sharing real option games and privileged real option games according to competition characteristic. And then, based upon classification definition into option games, this article respectively emphasizes upon the sharing real option games and the privileged real option games and analyzes each equilibrium strategies of its under the incomplete information. It is concluded: (1) that, in the sharing real option games of incomplete information, enterprise 1, according to maximum of its profit and its rival’(enterprise 2 tactics, will choose to exercise the invest option in the threshold valueYL 1 to become the leader of market, or in the threshold value YF 1to become the follower, and enterprise 2, according to maximum of its profit and its rival’(enterprise 1) tactics correspondent to its cost type, will choose to exercise invest option in the threshold value YL 2( whether high cost or low cost) to become the leader, or in the YF 2h of high cost or in the YF 2lof low cost to become the follower, and (2) that, in the privileged real option games of incomplete information, whether high cost or low cost, privileged enterprise 1 must choose to enter into the market in the threshold value of the low cost and then yields according to themaximum monopolized output of the low cost to become the leader, and then the follower, enterprise 2, on the basis of observing enterprise 1’s tactics, decide its optimal investment time according to the principle of real option approach, and (3) that later, on the basis of equilibrium strategies, sharing real option game model and privileged real option game model have been made by Ito Lemmo and by Dynamic Plan means, including leaders’and followers’real option value, present value of equilibrium profit and investment threshold value.更多还原