2-dimensional n-person real options problem and its calculation algorithm

2023 Fiscal Year Final Research Report

• Project/Area Number: 16K01248
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Social systems engineering/Safety system
• Research Institution: Tokyo Metropolitan University
• Principal Investigator: Yagi Kyoko 東京都立大学, 経営学研究科, 准教授 (80451847)
• Project Period (FY): 2016-04-01 – 2024-03-31
• Keywords: リアルオプション / 戦略的延滞債務 / コーポレートファイナンス / 企業買収 / 株式公開買付け / 確率的SIRモデル / ロックダウン / 最適停止問題

Outline of Final Research Achievements

We consider strategic debt delinquency problems, M&A decision-making problems, and optimal lockdown problems related to infectious diseases using the real options approach. In the strategic debt delinquency problem, we model a situation in which debt is mutually held and analyze negotiations to exchange debt for equity as a proposal for reduction or exemption of repayments under a strategy that allows shareholders to maximize the value of their equity. Regarding M&A decision-making problems, we conduct various analyzes of hostile takeovers and friendly takeovers. Furthermore, in the optimal lockdown problem related to infectious diseases, we consider the optimal shutdown problem to control infectious diseases based on a stochastic SIR model that considers the effective vaccination rate.

Free Research Field

金融工学

Academic Significance and Societal Importance of the Research Achievements

戦略的延滞問題および合併問題は，経済的インパクトが大きく，国際問題を扱う一方で，広くは経済学における主要なテーマである企業行動の問題である．また，感染症に関する最適なロックダウン問題は，COVID-19等の感染症が世界的に流行する下で，多くの国の意思決定者が経済活動への社会的影響と医療負担との間の実質的なトレードオフを考えた深刻な問題であった．本研究で用いているリアルオプションアプローチは，定量性な指針を武器として，さまざまな問題の解明に寄与すると信じている．