Combination of real options and game-theoretic approach in investment analysis
نویسندگان
چکیده
منابع مشابه
Pricing of Rainbow Options: Game Theoretic Approach
The general approach for the pricing of rainbow (or colored) options with fixed transaction costs is developed from the game theoretic point of view. The evolution of the underlying common stocks is considered in discrete time. The main result consists in the explicit calculation of the hedge price for a variety of the rainbow options including option delivering the best of J risky assets and c...
متن کاملOptimal Timing of Firm's R&D Investment under Incomplete Information: A Real Options and Game-theoretic Approach
In a real options and game-theoretic framework, this paper examines the optimal R&D investment timing of an incumbent (firm 1) under uncertainty, which faces the threat of preemption by a potential entrant (firm 2). We incorporate incomplete information into the model by assuming that the incumbent does not know the entrant’s investment threshold but know its distribution. We find that incomple...
متن کاملThe revenue and preservation-technology investment sharing contract in the fresh-product supply chain:A game-theoretic approach
This research considers a fresh-product supply chain consisting of a single-buyer, a single-supplier for deteriorating products where the market demand is dependent on the retail price, fresh rate, and remaining rate. Firstly, in a competitive model, the primary decision variables (i.e., the supplier's wholesale price and preservation-technology investment and also buyer's order quantity and re...
متن کاملMergers and market valuation: real options approach
This paper investigates the connection between market valuation anda type of the merger (stock, cash) using real options setup. I solveexplicitly for the timing and terms of cash mergers in two deferent settingsto demonstrate that cash mergers generally occur at low marketvaluations, whereas stock mergers that may be observed at both low andhigh valuations; the result holds with some dierences ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Industrial Engineering International
سال: 2016
ISSN: 1735-5702,2251-712X
DOI: 10.1007/s40092-016-0144-z