投资时机和能力选择在断竞争下,在跳跃扩散模型下
1School of Mathematics and Statistics, Guizhou University, Guiyang, 550025 China.
概括
突如其来的市场事件会推迟投资,并增加双重断的产能. 公司以后投资,不确定性更高,但对需求和成本的跳跃影响会产生复杂的最佳容量选择.
科学领域:
- 经济学 经济学 经济学
- 金融 金融 金融 金融 金融
- 游戏理论 游戏理论
背景情况:
- 现实期权理论对于理解不确定性下的投资决策至关重要.
- 双市场面临复杂的战略互动和投资时机挑战.
- 突发事件 (跳跃) 显著影响市场动态和公司行为.
研究的目的:
- 应用真实期权游戏理论来分析投资时间和投资能力,在面临突发事件的二元市场中.
- 开发一种用于随机跳跃过程的真实选项模型的新型计算方法.
- 研究需求和投资成本的不确定性对企业的战略决策的影响.
主要方法:
- 利用真实选项游戏理论与几何布朗运动和Poisson过程来建模需求和成本.
- 开发一种独立于分布的计算方法,用于跳跃的真实期权估值.
- 使用数值模拟来探索各种不确定性场景和跳跃影响.
主要成果:
- 需求和投资成本的不确定性增加导致两家公司推迟投资并选择更大的产能.
- 双重断中的企业之间的最佳容量关系在双重不确定性源下变得模糊.
- 需求的上升和投资成本的下降加速了具有更大的产能的投资;反之亦然.
结论:
- 企业在应对市场不确定性增加和突发事件时,战略性地延迟投资并调整产能.
- 需求和成本不确定性的相互作用,以及跳跃动态,创造了复杂的战略投资景观.
- 在对称二元制中,先发制人的威胁可以导致第一行动者比不对称的设置更早地进行投资.
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