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Investment under uncertainty, competition and regulation
1. | IMPA, Estrada Dona Castorina, 110, Rio De Janeiro, 22460-320, Brazil |
References:
[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.
doi: 10.1086/260062. |
[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.
doi: 10.1137/090768060. |
[4] |
D. Becherer, Rational hedging and valuation of integrated risks under constant absolute risk aversion, Insurance: Mathematics and economics, 33 (2003), 1-28.
doi: 10.1016/S0167-6687(03)00140-9. |
[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.
doi: 10.1016/j.ejor.2011.05.038. |
[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.
doi: 10.2307/2297660. |
[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.
doi: 10.1142/S0219024913500040. |
[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.
doi: 10.2307/2329533. |
[9] |
S. R. Grenadier, Option exercise games: The intersection of real options and game theory, Journal of Applied Corporate Finance, 13 (2000), 99-107.
doi: 10.1111/j.1745-6622.2000.tb00057.x. |
[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.
doi: 10.1016/j.rfe.2005.04.002. |
[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.
doi: 10.1016/B978-075065332-9.50011-2. |
[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.
doi: 10.1016/j.jet.2010.10.002. |
[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.
doi: 10.1016/j.jmateco.2012.05.004. |
[16] |
H. Weeds, Strategic delay in a real options model of R&D competition, The Review of Economic Studies, 69 (2002), 729-747.
doi: 10.1111/1467-937X.t01-1-00029. |
show all references
References:
[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.
doi: 10.1086/260062. |
[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.
doi: 10.1137/090768060. |
[4] |
D. Becherer, Rational hedging and valuation of integrated risks under constant absolute risk aversion, Insurance: Mathematics and economics, 33 (2003), 1-28.
doi: 10.1016/S0167-6687(03)00140-9. |
[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.
doi: 10.1016/j.ejor.2011.05.038. |
[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.
doi: 10.2307/2297660. |
[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.
doi: 10.1142/S0219024913500040. |
[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.
doi: 10.2307/2329533. |
[9] |
S. R. Grenadier, Option exercise games: The intersection of real options and game theory, Journal of Applied Corporate Finance, 13 (2000), 99-107.
doi: 10.1111/j.1745-6622.2000.tb00057.x. |
[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.
doi: 10.1016/j.rfe.2005.04.002. |
[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.
doi: 10.1016/B978-075065332-9.50011-2. |
[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.
doi: 10.1016/j.jet.2010.10.002. |
[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.
doi: 10.1016/j.jmateco.2012.05.004. |
[16] |
H. Weeds, Strategic delay in a real options model of R&D competition, The Review of Economic Studies, 69 (2002), 729-747.
doi: 10.1111/1467-937X.t01-1-00029. |
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