Real options and competition
Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 12 - Chapter in an edited book (Author) › peer-review
Author(s)
Detail(s)
| Original language | English |
|---|---|
| Title of host publication | Stochastic Analysis, Stochastic Systems, and Applications to Finance |
| Publisher | World Scientific Publishing Co. |
| Pages | 63-100 |
| ISBN (print) | 9789814355711, 9814355704, 9789814355704 |
| Publication status | Published - 1 Jan 2011 |
| Externally published | Yes |
Link(s)
Abstract
This paper provides a review of our research, Bensoussan et al. Refs. 3,4, which explore optimal investment policies for irreversible capital investment projects under uncertainty in monopoly and Stackelberg leader-follower frameworks. Optimal policies derived for the Stackelberg duopoly case in an incomplete market are, to our knowledge, heretofore undocumented. We show that com-petition and market incompleteness have vital impacts on investment decisions. In our survey, we present models in the case of complete markets and in the case of incomplete markets with different types of investment payoffs and market competition frameworks. We discuss model setup, explaining solution tech-nique and procedure. We provide major results and theorem, and refer proofs and details to our original papers Refs. 3,4.
Research Area(s)
- Differential game, Optimal stopping, Real options, Utility based pricing, Variational inequality
Citation Format(s)
Real options and competition. / Bensoussan, Alain; Diltz, J. David; Hoe, Sing Ru Celine.
Stochastic Analysis, Stochastic Systems, and Applications to Finance. World Scientific Publishing Co., 2011. p. 63-100.
Stochastic Analysis, Stochastic Systems, and Applications to Finance. World Scientific Publishing Co., 2011. p. 63-100.
Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 12 - Chapter in an edited book (Author) › peer-review
