基于竞争格局的期权执行博弈.pdfVIP

第1O卷第3期 上 海 大 学 学 报 (自然 科 学 版 ) V01．10 NO．3 2004年6月 JOURNAL OF SHANGHAI UNIVERSITY(NATURAL SCIENCE) Jun．2004 文章编号：1007．2861(2004)03．0321 05 基于竞争格局的期权执行博弈 张梅 琳 (上海大学 国际工商与管理学院，上海201800) 摘要：应用标准实物期权定价方法进行不确定性投资分析时，一般不考虑企业相互间竞争影响，孤立地制定其最佳 执行策略．然而，现实的实物投资市场不可能这样孤立地制定执行策略，它必定是投资战略均衡中的一部分．竞争 对执行策略的影响是十分明显的，例如，标准实物期权模型认为：一个有价值的“等待期权”会起到企业只对净现值 为正的领域进行投资的作用．但竞争会弱化等待期权的价值，结果导致投资的净现值几乎为零．该文提出了一个可 操作的方法，应用此方法可以从纳什连续时间状态模型中寻求竞争环境下的投资均衡战略． 关键词：竞争；期权执行；博弈 中图分类号：F 83 文献标识码：A Competition-Based Games for Future-Rights Execution ZHANG Mei—lin (School of International Business and Management，Shanghai University，Shanghai 201800，China) Abstract：In the uncertainty analysis of investments based on future rights of standard materials，the effects of competitions between enterprises are generally ignored．In real investment markets for materials，however，it is unrealistic to make executive strategies in such an isolated manner．Any spe— cific strategy must be a part of the entire strategic balance．The effects of competition upon execution of strategies are obvious．For example，in the future—rights model for standard materials，a valuable “ would—be future rights”may cause an enterprise to invest only in fields where net—earning is positive． Nonetheless，competition can reduce the value of would—be future rights so that net—earning of the investment almost vanishes．A feasible approach is proposed in this paper，which can produce a proper strategy for investment balance under an environment of competition based on the Nash continuous time status mode1． Key words：competition；execution of future rights；game 自从迈克尔．波特提出竞争优势以来，有关竞争