双寡头在需求不确定条件下研发（RD）投资策略的实物期权博弈.pdf

华中科技大学
硕士学位论文
双寡头在需求不确定条件下研发(R&D)投资策略的实物期权博
弈
姓名:张理
申请学位级别:硕士
专业:数量经济学
指导教师:易江
20040701
摘要
企业投资研究开发一项新产品是为了在未来的市场中占据竞争优势但是未
来的市场情况在当前具有不确定性比如需求的不确定性企业能够推迟自己的研
发活动直到对未来市场的情况有足够乐观的估计企业在不确定条件下相机决策
的能力具有实物期权价值这种实物期权价值和金融期权不同没有法律文书的确
认往往会受到其他竞争性企业进行类似研发投资活动的影响从而被迫和竞争对
手分享投资期权价值
在有竞争者的情况下率先开始研发活动并进入市场提供产品的一方将在对手
没有进入市场前获得垄断利润因此领先者投资期权价值大于追随者投资期权
在有两家企业展开竞争的时候构成投资时间上的序列博弈领先者和追随者的序
列博弈支付矩阵由两家企业投资后构成的双寡头产量博弈的均衡解决定在完全
信息连续时间动态产量博弈中均衡解和完全信息静态产量博弈的古诺均衡相同
在标的资产服从几何布朗运动而且没有抢滩期权的情况下实物期权价值只
由当前标的资产价值确定由于本模型中的双寡头产量博弈均衡解给出的利润流函
数不随时间变化如果容许混合策略存在领先者和追随者的投资时间序列博弈存
在只依赖随机变量当前值标的资产当前价值的马尔可夫均衡数值计算案例分
析表明领先者和追随者的地位上述马尔可夫均衡受到双方生产函数的影响
单位产品生产成本低廉但是固定生产成本较高的大企业容易成为新产品市场的追
随者而固定生产成本较低单位产品生产成本较高的小企业容易成为新产品市场
的领先者

关键词实物期权方法研发投资双寡头博弈不确定性需求

I
Abstract
The aim of a firm’s R&D investment for a new-product is to gain petitive
advantage in petition of future market. 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 ing market conditions. 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
is easily undermined by the similar R&D mitted by the rival, hence being
shared between peting firms.
Since the Leader firm which first makes the R&D investment and enters the
new-product 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. petition between two firms for the Leader’s investment Option
es 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 after both have entered the new-product market. The equilibrium plete
information dynamic Duopoly