Measuring Risk under Uncertainty and Competition, Game Theotetical Approach to Real Option Valuation
| Project/Area Number |
17510128
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Chuo University (2006-2007)
Iwate Prefectural University (2005) |
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Principal Investigator |
FURUKAWA Koichi Chuo University, Faculty of Policy Studies, Professor (20016455)
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| Co-Investigator(Kenkyū-buntansha) |
WATANABE Takahiro Tokyo Metropolitan Univeersity, Graduat School of Social Sciences, Professor (70220895)
IMAI Junichi Tohoku University, Gradua School of Economics and Management, Associate Professor (10293078)
KOIDA Nobuo Iwate Prefectural Uniyersity, Depattment of Policy Studies, Assistant Professor (30363724)
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| Project Period (FY) |
2005 – 2007
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| Project Status |
Completed (Fiscal Year 2007)
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| Budget Amount *help |
¥3,600,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥300,000)
Fiscal Year 2007: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2006: ¥700,000 (Direct Cost: ¥700,000)
Fiscal Year 2005: ¥1,600,000 (Direct Cost: ¥1,600,000)
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| Keywords | Valuation of Risk / Real Option / Simulation / Theory of Game / Valuation of Business / 新しい会社法 |
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| Research Abstract |
Iwate Prefectural Uniyersity, Depattment of Policy Studies, Assistant Professor The purpose of the research was to develop a valuation model of firms' projects under uncertainty and competition, incorporating the real option approach to game theory. The real option approach can take the value of flexibility embedded in the real investment into account while the game theory can analyze the effect of rival firms' behavior and derive the equilibrium strategy in the presence of the competition.
We first extended the two-stage model, which was developed in our previous research, to a multi-stage decision model when the sequential and simultaneous games were considered that leads to the following two papers.
A Numerical Approach for Real Option Values and Equilibrium Strategies in a Duopoly
The Investment Game under Uncertainty : An Analysis of Equilibrium Values in the Presence of First or Second Mover Advantage
We also examine a flexibility trap which represents a phenomenon where a player who
… More
has an option to invest lose her advantage just because she has the flexibility though the option always increases the value of the investment for the firm if the competition is not considered . We published a paper.
Real option and flexibility trap under competition(written in Japanese)in which the equilibrium selection theory is used to lead the unique outcome corresponding to a flexibility trap. Our research contribution has presented in many places that includes four years consecutive presentations at Annual Real Options Conference held all over the world. Furthermore, the head investigator organized workshops in 2005(Workshop on Measuring Risk under a competitive environment at Iwate Prefectural University)and in 2006(Workshop on Real Options and Game Theory at Chuo University)where all the members of this project talked each research contribution, respectively.
The investigators of this research helped establish a new academic society The Japan Association of Real Options and Strategy(JAROS), which was established in 2006. They are now leading members of the association who also join the management of the committee. Less
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Report
(4 results)
Research Products
(80 results)
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[Presentation] ゲーム理論の意義2006
Author(s)
小井田 伸雄
Organizer
ワークショップ「リアル・オプションとゲーム理論」
Place of Presentation
中央大学
Year and Date
2006-07-22
Description
「研究成果報告書概要(和文)」より
Related Report
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[Presentation] Moderation Premiums2006
Author(s)
Nobuo Koida
Organizer
Microeconomic Seminar, Collegio Carlo Alberto
Place of Presentation
Collegio Carlo Alberto,Turin,Italy
Year and Date
2006-05-05
Description
「研究成果報告書概要(和文)」より
Related Report
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