技术不确定条件下RD投资决策的期权博弈模型.pdf.pdf

第3l卷第8期 2010年8月哈尔滨工程大学学报 Journal ofHarbin Engineering University №.8 doi:.1006- 技术不确定条件下R&D投资决策的期权博弈模型孙艳梅,孙长雄(哈尔滨工业大学管理学院。黑龙江哈尔滨150001) 摘要:为了分析R&D投资的不确定性、灵活性和竞争因素对投资决策的影响,将博弈论纳入实物期权方法的分析框架,在技术不确定环境下,构造研发能力和投资成本均不对称的双寡头垄断期权博弈模型,得到企业作为跟随者、领先者和同时投资者的价值函数,分析研发能力对投资II缶界值的影响,:研发能力对跟随者投资临界值影响显著,增强自身研发能力将减小投资临界值,而竞争者的研发能力增强会增加投资临界值,并且研发能力差别较大时将发生序贯均衡. 关键词:R&D投资;期权博弈;价值函数;投资临界值;均衡中图分类号: 文献标志码:A文章编号:1006-7043(2010)-09 Using theory tomodel R&D investmentU sing game theo modei Dinvestment & decision-making under uncertainty SUN Yan-mei,SUN Chang—xiong (School Management,Harbin Institute Technology,Harbin 150001,China) Abstract:In order toanalyze theimpact ofR&D investment,it necessary dealwithuncertainty,the need for flexibility,and petitive factors thataffectinvestment decision· theory was incorporat— edintotheanalytical framework ofrealoption modate uncertainty,a duopoly game based on asymmetric R&D capabilities andinvestments WaS thismodel,cost functions forcorporations who act respectively as followers,leaders,and investors were impact on investment thresholds ofvaria— tions inR&D equilibrium investment strategies were resultsof thediscussion indicate thatR&D capability has aconsiderableimpact on afollowerg investm