RD战略投资决策的期权博弈分析.pdf

2006中国控制与决策学术年会论文集 Proceedings of 2006 rol d4d DeciMon Conference 1093 R&D战略投资决策的期权博弈分析余冬平,邱菀华(北京航空航天大学经济管理学院,北京100083) 摘要:考虑R&D授赉的收益、成本及技术三重不确定因素,运用期权博彝方法,探讨了不确定和竞争环境下企业 RM),即抢先均衡和同时均衡t其中掊先均衡中还存在说争蕈喀均酱{当考虐多重不确定因素及其相差性时,不确定增太并不一定怠是提高垂业最佬投费li占界值,相反. :R&D;授蛋_央策F实物期权;晨头垄断;期权博弈 Option Games Theoretic Analyses on Strategic R&D Investment YUDong—ping,Q彤Wan—hua (School ofEconomics and Management,13eihang Universityt Beijing 100083t 。YU Dung— ping,E—mail;******@) Abstract:The theory ofoption game,&is applied to discuss thestrategic decision rules corporate R&D investment under uncertainty petition·with three uncertainties terms and technology results show thatthere exists both preemptive equilibrium and simultaneous equilibrium R&Dinvestment game and mixed strategy equilibrium preemptive equilibrium;and theincrease ofuncertainty not always to risethe optimal threshold when considering many uncertain factors which are correlative: increase of correlation and hazard rate ofRS,D technology can minlsh analytical result theory further verified and enriched by anumerical example Key words:R&D;Investment decision;Real options;Duopoly;Option games 1引言 R&D投资具有周期长、不可逆性、,一是技术不确定性;二是经济不确定性,包括利润流的不确定(项目价值的不确定性)和投资成本的