期权博弈理论在不确定性投资决策中的应用

应用期权博弈理论方法分析了存在竞争条件下的不确定性投资决策问题。建立了一个双寡头模型，用实物期权方法计算了模型中2个公司的价值，并分析了模型的均衡状态，给出了影响产品需求的随机因素位于不同区间上时。2公司的均衡状态及其最优的投资决策。分析结果表明，随着影响产品需求的随机因素值的变化2公司的最优策略是。做领导者、跟随者或者采取对二者无差别的态度；只有当随机变动值非常大时，同时投资对2公司而言才可能是最优的策略。

An application of option games theory in investment under uncertainty

The theory of option games is a powerful tool in to dealing with investment under uncertainty and competition, A model of duopoly under uncertainty was formed. The values of the two firms were calculated by real option methods, the possible equilibriums was checked and the optimal investment rules of the two firms was determined. The results showed that the two firms'strategies were to be the leader, the follower or to be indifferent in the two roles, which were based on the value of stochastic factor that affected the demand of the product. Only if the value of stochastic factor became very large, simultaneous investment would be the two firms'optimal decision.