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Option Exercise Games in Spatial Economies

Research Project

Project/Area Number 15360272
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field 交通工学・国土計画
Research InstitutionTohoku University

Principal Investigator

AKAMATSU Takashi  Tohoku University, Graduate School of Information Sciences, Professor, 大学院・情報科学研究科, 教授 (90262964)

Co-Investigator(Kenkyū-buntansha) FUKUYAMA Kei  Tohoku University, Graduate School of Information Sciences, Associate Professor, 大学院・情報科学研究科, 助教授 (30273882)
Project Period (FY) 2003 – 2004
Project Status Completed (Fiscal Year 2004)
Budget Amount *help
¥4,100,000 (Direct Cost: ¥4,100,000)
Fiscal Year 2004: ¥1,700,000 (Direct Cost: ¥1,700,000)
Fiscal Year 2003: ¥2,400,000 (Direct Cost: ¥2,400,000)
KeywordsReal Option / Game Theory / Spatial Competition / Location Choice / Oligopoly / Dynamic Uncertainty / Entry and Exit / ゲーム理論 / サブ・ゲーム完全均衡 / 確率的制御 / 微分ゲーム / 社会的最適状態
Research Abstract

This study consists of two parts. The first part develops a theory that explains strategic behavior of oligopoly firms under dynamic uncertainty (ie. "option game theory"). Specifically, we consider dynamic equilibrium strategies of oligopoly firms producing a single commodity with random demand fluctuation, assuming that each firm can change its strategic variables (such as output price level) at any time. We find a dependence relation of the equilibrium strategies and stochastic state variables, and show that the result dramatically changes depending on whether commodity demands are complementary or substitute. Furthermore, we reveal the clear relation between the equilibrium state and a socially optimum state. The second part studies several option games in a spatial economy. Specifically, we consider a location equilibrium between a landlord and a firm with entry and exit options under the profit risk due to stochastic economic factors. The study reveals several properties of the dynamic equilibrium : 1)the landlord's equilibrium strategy is to permit the firm's entry (locate at the land) immediately when the volatility of the economic factor is sufficiently low, 2)in the equilibrium under the firm's free exit rule, the landlord raises the rent as the volatility increases to cover the decrease in his expected revenue due to the increase in the risk of firm's exit, 3)banning the firm from exiting improves not only the welfare of landlord but also that of firms (ie. Pareto improvement) because, under the banning rule, the landlord can decrease the rent level, which makes the firm better off than the firm having an exit option paying a higher equilibrium rent.

Report

(3 results)
  • 2004 Annual Research Report   Final Research Report Summary
  • 2003 Annual Research Report
  • Research Products

    (19 results)

All 2005 2004 2003 Other

All Journal Article (14 results) Publications (5 results)

  • [Journal Article] グローバル企業の参入・撤退に伴う地域経済リスク2005

    • Author(s)
      赤松 隆, 棟方章晴, 大庭靖史
    • Journal Title

      土木学会論文集 (刊行予定)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Annual Research Report 2004 Final Research Report Summary
  • [Journal Article] A link formation game of road network construction : local demand and cooperation2005

    • Author(s)
      Fukuyama, Kei
    • Journal Title

      Interdisciplinary Information Sciences 11(1)(刊行予定)

    • NAID

      110001150607

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Annual Research Report 2004 Final Research Report Summary
  • [Journal Article] A Generalized Complementarity Approach to Solving Real Option Problems2005

    • Author(s)
      Takeshi Nagae, Takashi Akamatsu
    • Journal Title

      Journal of Economic Dynamics & Control (in press)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] 経済リスクを考慮した社会基盤投資プロジェクトの動学的財務評価2004

    • Author(s)
      赤松 隆, 長江剛志
    • Journal Title

      土木学会論文集 IV-62

      Pages: 39-54

    • NAID

      10012485825

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Annual Research Report 2004 Final Research Report Summary
  • [Journal Article] 不確実性下での社会基盤投資・運用問題に対する変分不等式アプローチ2004

    • Author(s)
      赤松 隆, 長江剛志
    • Journal Title

      土木学会論文集 IV-64

      Pages: 155-171

    • NAID

      10012800980

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Annual Research Report 2004 Final Research Report Summary
  • [Journal Article] グローバル化の進展とローカル経済リスク2004

    • Author(s)
      赤松 隆
    • Journal Title

      土木計画学研究・講演集 29(CD-ROM)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Annual Research Report 2004 Final Research Report Summary
  • [Journal Article] グローバル企業の参入・撤退に伴う地域経済リスクに関する基礎的研究2004

    • Author(s)
      赤松 隆, 棟方章晴, 大庭靖史
    • Journal Title

      土木計画学研究・講演集 29(CD)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Annual Research Report 2004 Final Research Report Summary
  • [Journal Article] Dynamic Pricing and Hedging of Projects with Stochastic Cash Flow Streams2004

    • Author(s)
      Takashi Akamatsu, Takeshi Nagae
    • Journal Title

      JSCE Journal of Infrastructure Planning and Management IV-60

      Pages: 39-54

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Variational Inequality Approach to Infrastructure Investment/Management Problems under Uncertainty2004

    • Author(s)
      Takashi Akamatsu, Takeshi Nagae
    • Journal Title

      JSCE Journal of Infrastructure Planning and Management IV-64

      Pages: 155-171

    • NAID

      10012800980

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A Stochastic Control Model of Project Decisions Represented as a Graph Structure(in Japanese)2004

    • Author(s)
      Takeshi Nagae, Takashi Akamatsu
    • Journal Title

      JSCE Journal of Infrastructure Planning and Management IV-65

      Pages: 185-202

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Global Firms' Location and Regional Economic Risks2004

    • Author(s)
      Takashi Akamatsu, Akiharu Munekata, Yasushi Oba
    • Journal Title

      JSCE Journal of Infrastructure Planning and Management.

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Pricing of Real Options in an Incomplete Market2003

    • Author(s)
      Takeshi Nagae, Takashi Akamatsu
    • Journal Title

      Journal of Applied Regional Science Vol.8(2)

      Pages: 81-93

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Strategic Option Games with Variable Prices2003

    • Author(s)
      Akiharu Munekata, Takashi Akamatsu
    • Journal Title

      The 17th Applied Regional Science Conference.

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A link formation game of road network construction : local demand and coo peration

    • Author(s)
      Kei Fukuyama
    • Journal Title

      Interdisciplinary Information Sciences 11(in press)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Publications] 赤松隆, 棟方章晴: "価格変更ゲームにおけるオプション行使戦略"土木計画学研究・講演集. 28(CD). No.14 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 赤松隆, 長江剛志: "リアル・オプション価格の統一的計算法:相補性問題アプローチ"土木計画学研究・講演集. 28(CD). No.72 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 赤松隆, 長江剛志: "連鎖的意思決定構造を考慮した不確実性下でのプロジェクト評価手法"土木計画学研究・講演集. 28(CD). No.73 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 長江剛志, 赤松隆: "不完備市場リスク要因を考慮したリアル・オプション評価"応用地域学研究・論文集. 8(2). 81-93 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 赤松隆, 長江剛志: "経済リスクを考慮した社会基盤投資プロジェクトの動学的財務評価"土木学会論文集. IV-62. 39-54 (2004)

    • Related Report
      2003 Annual Research Report

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Published: 2003-04-01   Modified: 2016-04-21  

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