競爭作用不對稱下技術創(chuàng)新投資的期權博弈分析

1、競爭作用不對稱下技術創(chuàng)新投資的期權博弈分析?283?11?#0046993?(?#0046993?143?#0046993?)?vol1.23,no.112005?#004699311?systemsengineeringnov.,2005?:100124098(2005)1120075204?#0046993?#0046993?#0046993?#0046993?#0046993?,?(?#0046993?#0046993?,?#0046993?200052)?#0046993:?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0

2、046993?,?#0046993?#0046993?#0046993?#0046993?#0046993,?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?,?#0046993?#0046993?,?#0046993?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993?#0046993?:?#0046993?#0046993?;

3、?#0046993?#0046993?;?;?:f272?#0046993?:a?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?1?#0046993?,?#0046993?#0046993?#0046993?#0046993?1.1?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#00469

4、93?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?,?#0046993?(?)?#0046993?#0046993?#0046993?smets(1993)?#0046993?#0046993?#0046993?,?#0046993?i(>0)?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?,?#0046993?#0046993?1,?#0046993?#0046993?2?#0046993?#004699

5、3?#0046993?#0046993?#0046993?#0046993?dixit?pindyck(1994,?dp?)?smets?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993,?#0046993?#0046993?#0046993?#0046993?3dias?teixeira(2003)?(t)=y(t)?#0046993d(q),?#0046993?d(q)?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?,q?#004699

6、3?#0046993?4?0,1,2?0?#0046993?#0046993?#0046993?#0046993?,1?#0046993?#0046993?#0046993?#0046993?#0046993?5,?#0046993?#0046993?#0046993?#0046993?#0046993?,2?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?y(t)?#0046993?#0046993?#0046993?#0046993?#004

7、6993?,?#0046993?:?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993?dy(t)=y(t)dt+y(t)dz,?#0046993?,?#0046993?#0046993?#0046993,?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#004

8、6993?,?#0046993?#0046993?#0046993?#0046993?,dz?#0046993?dt?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?m(?0),?#0046993?,?#0046993?#0046993?#0046993?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?d(1)?

9、#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?md(2),?#0046993?#0046993?#0046993?#0046993?#0046993?yd(1)?myd(2),?#0046993?#0046993?dp?yd,?#0046993?#0046993?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993?#0046993?(2),?#0046993?#0046993?#0046993?#0046993?#0046993,?#0046993?yd?#0046993?

10、#0046993?#0046993?#0046993?#0046993?,?#0046993?#0046993?(2),?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?,?#0046993?m>1?#0046993?,?#0046993?#0046993?#0046993?#0046993?#00

11、46993?#0046993?#0046993?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993,?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?,?#0046993?#0046993?m<1?#0046993?,?#0046993?#0046993,?#0046993?#0046993?#0046993?#0046993?,?#004699

12、3?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?:2005203219;?#0046993?#0046993?#0046993?:2005208222:?#0046993?#0046993?#0046993?#0046993?(70331001)?#0046993?:?#0046993?(19752),?,?#0046993?,?#0046993?#0046993?#0046993?#0046993?,?:?#0046993?#0046993;?(19622)?,?#0046993?,?#0046993?#004

13、6993?,?#0046993?#0046993?,?#0046993?#0046993,?#0046993?#0046993?#0046993?76?2005?#0046993?#0046993?d(1)>md(2)>d(0),?d(1)>d(2)>d(0),?#0046993?#0046993,?#0046993?#0046993?#0046993?,?#0046993?myd?#0046993?#0046993?#0046993?#0046993?#0046993?(2)?4?#0046993?#0046993?#0046993?vl(y)=fl(y)+i,?#0

14、046993?fl(y)?#0046993?#0046993?,?#0046993vl1.2?#0046993?#0046993?(1)?#0046993?(y)?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?ff?,vl(y)?(y),?#0046993?#0046993?#0046993?rvly(y)dt=e(dvl(y)+yd(1)dt)?,?#0046993?#0046993?r(>)?#0046993?#0046993?#0046993?#0046993t?#0046993?#0046993?,?

15、#0046993?#0046993?#0046993?vl(y)?#0046993?,?,?#0046993?:?:1?22y2ffyy(y)+yffy(y)-rff(y)=0(1)12y2vl2yy(y)+yvly(y)-rvl(y)+yd(1)=0?,ffy(y)=5ff?5y,ffyy(y)=52ff?5y2.?#0046993?(6)?#0046993?(7)?,?(7)?3?4?#0046993?#0046993?,?ff(y)?#0046993?)y<yf?#0046993?,vl(y)=cyd(1y1+dy2+r-,?#0046993?#0046993?yd(1)ffr-?

16、#0046993?#0046993?(7)?#0046993?#0046993,?#0046993?c?d?#0046993?#0046993?#0046993?,?#0046993?1(y)=ay1+by2(2)?#0046993?,?#0046993?a,b?#0046993?1,2?#0046993?#0046993?2?#0046993?(3)?#0046993?#0046993?#0046993?#0046993?(1)?#0046993?#0046993?(7)?#0046993?:vl(0)=0g(1)=22+(1-2)-r=0(3)22myvlfd(2)(yf)=?gr-(1)

17、=-r<0,g(0)=-r<0,?#0046993?1>1?#0046993?#0046993?fl(y)?#0046993?:,2<0?fl(y)?1122r1,2=-+22?2-22myd(2)r-i,y?yf?#0046993?#0046993?(1),?#0046993?#0046993?#0046993?=?#0046993?y1yf(md(2)-d(1)yd(1)ff(0)=0,?#0046993?#0046993?#0046993?#0046993?,-i,y<yfyfr-+r-?#0046993?#0046993?,?1>1,?#004699

18、3?(8)(2)?:?#0046993?#0046993?yl,?#0046993?ff(y)=ay1(4)?#0046993?#0046993yl?y<yl?#0046993?#0046993?#0046993?#0046993?:fl(yl)=ff(yl),?#0046993?#0046993?#0046993?#0046993?vfyd(2)(y)=r-1.3?#0046993?#0046993?#0046993?m=1?#0046993?,?#0046993?dp?#0046993?yf,?#0046993?#0046993?(5)?#0046993?(6),?#0046993?

19、#0046993?#0046993?#0046993?#0046993?#0046993?yl,?#0046993?yf,?#0046993?#0046993?#0046993?#0046993?yf?:?m>1?#0046993?,?#0046993?1yl<yl,?#0046993?ff(yf)=vf(yf)-i(5)?#0046993?#0046993?#0046993?#0046993?#0046993?,?#0046993?#0046993?ffy(yf)=vfy(yf)(6)?#0046993?#0046993?#0046993?#0046993?#0046993?#0

20、046993?#0046993?#0046993?#0046993?y?1yl,yl,?#0046993?(5)?(6),?#0046993:?#0046993?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993?i(r-)yf=1y=yf?#0046993?#0046993?#0046993?#0046993?y>yf?#0046993?,?#0046993?1-1d(2)1-?#0046993?#0046993?(8)?#0046993,?m?#0046993?,md(2)?d(1),(y)1d(2)af=1r-?#0046

21、993?#0046993?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993?ff(y)?#0046993?:?#0046993?#0046993?,?y1yf(md(2)-d(1)yfr-?#0046993?#0046993?yd(2)y?yfr-i,?#0046993yd(1)ff(y)=r->i,?#0046993?,?#0046993?#0046993?y?1yfd(2)-i,y<yyffr-?#0046993?#0046993?#0046993?#0046993?,?#0046993?yd(1)r-?(2)?#0

22、046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993,?yd(1)?m<1?#0046993?2,?#0046993?#0046993?#0046993?#0046993?yl,yp,?#0046993?11?#0046993?#0046993?,?:?#0046993?#0046993?#0046993?#0046993?77?#0046993?#0046993?yp.?#0046993?#0046993?#0046993?,?fl(y)>?#0046993?#0046993?#0046993?

23、#0046993?#0046993?#0046993?#0046993?ff(y)?#0046993?,?#0046993?#0046993?#0046993?#0046993?#0046993?1.4?#0046993?#0046993?#0046993?,?#0046993?#0046993?2yp,?#0046993d(1)=4,d(2)=2.5,=0.05,=0.02,m=1,r=?#0046993?#0046993?2yl.?#0046993?#0046993?#0046993?22yl,yp?0.1,i=20?#0046993?,?#0046993?#0046993?m=1?yl,

24、yp?,?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993m?,?#0046993?,?1?,?#0046993y=2yp?#0046993?#0046993?#0046993?#0046993?#0046993?y>?1?2yp?#0046993?,?#0046993?#0046993?flf(y)<f(y)?#0046993?,?1?#0046993?#0046993?#0046993?m?#0046993?m?#0046993?#0046993?y

25、l?#0046993?#0046993?yp?#0046993?#0046993?#0046993?0.6-?0.820.510.510.51(?#0046993?)0.90.400.670.40,0.6710.360.80.36,0.81.10.34-?1?d(1)=4,d(2)=2.5,=0.05,=0.02,m=1,r=0.1,i=20?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?:?1:?#0046993?#0046993?#0046993?,?#0046993?#0046993?2?#0046993?#

26、0046993?#0046993?#0046993?#0046993?,?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?2:?m<1?#0046993?,?#0046993?#0046993?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0

27、046993?#0046993?,?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993,?#0046993?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?,?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993,?#0

28、046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993,?78?2005?#0046993?#0046993?#0046993?#0046993?#0046993?3?(?#0046993?)?#0046993?#0046993?#0046993?#0046993?#0046993?:?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#00469

29、93?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993?#0046993,?#0046993?#0046993,?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993,?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993;?#0046993?#0046993?#

30、0046993?#0046993?#0046993?,?#0046993?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?,?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?#0046993?:1?smetsfr.essaysonforeigndirectinvestmentd.yaleuniversity,1993.2?fudenbergd,tirolej.pre2emptionandrentequalizationintheadoptionofnewtechnologyj.reviewofeconomicstudies,1985,52:383?401.3?dixitak,pindyck