雙寡頭在需求不確定條件下研發(fā)rd投資策略的實物期權(quán)博弈

1、華中科技大學碩士學位論文雙寡頭在需求不確定條件下研發(fā)（R&D）投資策略的實物期權(quán)博弈姓名：張理申請學位級別：碩士專業(yè)：數(shù)量經(jīng)濟學指導教師：易江20040701II Abstract The aim of a firm’s R&D investment for a new-product is to gain the competitive advantage in the competition of future ma

2、rket. However, the future market is under uncertainty, such as the uncertainty of demand. A firm can postpone its R&D activities until it makes an optimistic enough estimation on the forthcoming market con

3、ditions. The ability of making contingent decisions under uncertainty makes the value of Real Option. Unlike financial options, this kind of Real Options is not guaranteed by Law, whose value i

4、s easily undermined by the similar R&D activities committed by the rival, hence being shared between the competing firms. Since the Leader firm which first makes the R&D investment and enters the new-product

5、market before the rival, enjoys the monopolistic cash flow until its rival enters. The value of the Leader’s investment Option is more valuable than that of the Follower’s. The competition between two firms for the Leade

6、r’s investment Option becomes a sequential game on the time point when to make R&D investment. The payoff – matrix of this game is determined by the equilibrium of the Duopoly quantity competition afte

7、r both have entered the new-product market. The equilibrium of complete information dynamic Duopoly quantity competition in continuous-time is the same with Cournot equilibrium of complete information stat

8、ic quantity competition. With the underline asset following Geometrical Brown Motion and no preemption effect, the value of Real Option can be solo determined by the current value of stochastic variable

9、. Since the cash flow functions constructed by the equilibrium of Duopoly quantity competition do not change with time in the model of this paper, allowing for mixed strategies, the competition on the optimal

10、 investment time between the Leader and the Follower can reach Markov Equilibrium, of which the strategies should be solo determined by the current value of the underline asset. Confirmed by case study, the structure of