Journal of Dynamics and Games (JDG)

Investment under uncertainty, competition and regulation
Pages: 579 - 598, Issue 4, October 2014

doi:10.3934/jdg.2014.1.579      Abstract        References        Full text (531.1K)           Related Articles

Adrien Nguyen Huu - IMPA, Estrada Dona Castorina, 110, Rio De Janeiro, 22460-320, Brazil (email)

1 A. F. Azevedo and D. A. Paxson, Real options game models: A review, Real Options 2010, 2010.
2 F. Black and M. Scholes, The pricing of options and corporate liabilities, The journal of political economy, 81 (1973), 637-654.
3 A. Bensoussan, J. D. Diltz and S. Hoe, Real options games in complete and incomplete markets with several decision makers, SIAM Journal on Financial Mathematics, 1 (2010), 666-728.       
4 D. Becherer, Rational hedging and valuation of integrated risks under constant absolute risk aversion, Insurance: Mathematics and economics, 33 (2003), 1-28.       
5 B. Chevalier-Roignant, C. M. Flath, A. Huchzermeier and L. Trigeorgis, Strategic investment under uncertainty: A synthesis, European Journal of Operational Research, 215 (2011), 639-650.       
6 D. Fudenberg and J. Tirole, Preemption and rent equalization in the adoption of new technology, The Review of Economic Studies, 52 (1985), 383-401.       
7 M. Grasselli, V. Leclere and M. Ludkovski, Priority Option: The Value of Being a Leader, International Journal of Theoretical and Applied Finance, 16 (2013), 1350004, 37pp.       
8 S. R. Grenadier, The strategic exercise of options: Development cascades and overbuilding in real estate markets, The Journal of Finance, 51 (1996), 1653-1679.
9 S. R. Grenadier, Option exercise games: The intersection of real options and game theory, Journal of Applied Corporate Finance, 13 (2000), 99-107.
10 C.-f. Huang and L. Lode, Entry and exit: Subgame perfect equilibria in continuous-time stopping games, working paper, 1991.
11 D. Paxson and H. Pinto, Rivalry under price and quantity uncertainty, Review of Financial Economics, 14 (2005), 209-224.
12 F. Smets, Essays on Foreign Direct Investment, Ph.D. Thesis, Yale University, 1993.
13 A. Tsekrekos, The effect of first-mover's advantages on the strategic exercise of real option, in Real R&D Options (eds. D. Paxson), Butterworth-Heinemann, (2003), 185-207.
14 J. J. Thijssen, Preemption in a real option game with a first mover advantage and player-specific uncertainty, Journal of Economic Theory, 145 (2010), 2448-2462.       
15 J. J. Thijssen, K. J. Huisman and P. M. Kort, Symmetric equilibrium strategies in game theoretic real option models, Journal of Mathematical Economics, 48 (2012), 219-225.
16 H. Weeds, Strategic delay in a real options model of R&D competition, The Review of Economic Studies, 69 (2002), 729-747.       

Go to top