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Strategic real options with stochastic volatility in a duopoly model.

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Title: Strategic real options with stochastic volatility in a duopoly model.
Authors: Huang, Bing1 bihuang@aut.ac.nz, Cao, Jiling1 jiling.cao@aut.ac.nz, Chung, Hyuck1 hchung@aut.ac.nz
Source: Chaos, Solitons & Fractals. Jan2014, Vol. 58, p40-51. 12p.
Subjects: Duopolies, Mathematical models, Real options (Finance), Stochastic processes, Market volatility, Investments, Economic demand, Game theory
Abstract: Abstract: The investment-timing problem has been considered by many authors under the assumption that the instantaneous volatility of the demand shock is constant. Recently, Ting et al. (2013) [12] carried out an asymptotic approach in a monopoly model by letting the volatility parameter follow a stochastic process. In this paper, we consider a strategic game in which two firms compete for a new market under an uncertain demand, and extend the analysis of Ting et al. to duopoly models under different strategic game structures. In particular, we investigate how the additional uncertainty in the volatility affects the investment thresholds and payoffs of players. Several numerical examples and comparison of the results are provided to confirm our analysis. [Copyright &y& Elsevier]
Copyright of Chaos, Solitons & Fractals is the property of Pergamon Press - An Imprint of Elsevier Science and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
Database: Engineering Source
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Header DbId: egs
DbLabel: Engineering Source
An: 92904885
AccessLevel: 6
PubType: Periodical
PubTypeId: serialPeriodical
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  Data: Strategic real options with stochastic volatility in a duopoly model.
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  Data: <searchLink fieldCode="AR" term="%22Huang%2C+Bing%22">Huang, Bing</searchLink><relatesTo>1</relatesTo><i> bihuang@aut.ac.nz</i><br /><searchLink fieldCode="AR" term="%22Cao%2C+Jiling%22">Cao, Jiling</searchLink><relatesTo>1</relatesTo><i> jiling.cao@aut.ac.nz</i><br /><searchLink fieldCode="AR" term="%22Chung%2C+Hyuck%22">Chung, Hyuck</searchLink><relatesTo>1</relatesTo><i> hchung@aut.ac.nz</i>
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  Data: <searchLink fieldCode="JN" term="%22Chaos%2C+Solitons+%26+Fractals%22">Chaos, Solitons & Fractals</searchLink>. Jan2014, Vol. 58, p40-51. 12p.
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  Data: <searchLink fieldCode="DE" term="%22Duopolies%22">Duopolies</searchLink><br /><searchLink fieldCode="DE" term="%22Mathematical+models%22">Mathematical models</searchLink><br /><searchLink fieldCode="DE" term="%22Real+options+%28Finance%29%22">Real options (Finance)</searchLink><br /><searchLink fieldCode="DE" term="%22Stochastic+processes%22">Stochastic processes</searchLink><br /><searchLink fieldCode="DE" term="%22Market+volatility%22">Market volatility</searchLink><br /><searchLink fieldCode="DE" term="%22Investments%22">Investments</searchLink><br /><searchLink fieldCode="DE" term="%22Economic+demand%22">Economic demand</searchLink><br /><searchLink fieldCode="DE" term="%22Game+theory%22">Game theory</searchLink>
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  Data: Abstract: The investment-timing problem has been considered by many authors under the assumption that the instantaneous volatility of the demand shock is constant. Recently, Ting et al. (2013) [12] carried out an asymptotic approach in a monopoly model by letting the volatility parameter follow a stochastic process. In this paper, we consider a strategic game in which two firms compete for a new market under an uncertain demand, and extend the analysis of Ting et al. to duopoly models under different strategic game structures. In particular, we investigate how the additional uncertainty in the volatility affects the investment thresholds and payoffs of players. Several numerical examples and comparison of the results are provided to confirm our analysis. [Copyright &y& Elsevier]
– Name: AbstractSuppliedCopyright
  Label:
  Group: Ab
  Data: <i>Copyright of Chaos, Solitons & Fractals is the property of Pergamon Press - An Imprint of Elsevier Science and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.)
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RecordInfo BibRecord:
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      – Type: doi
        Value: 10.1016/j.chaos.2013.11.005
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      – Code: eng
        Text: English
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      Pagination:
        PageCount: 12
        StartPage: 40
    Subjects:
      – SubjectFull: Duopolies
        Type: general
      – SubjectFull: Mathematical models
        Type: general
      – SubjectFull: Real options (Finance)
        Type: general
      – SubjectFull: Stochastic processes
        Type: general
      – SubjectFull: Market volatility
        Type: general
      – SubjectFull: Investments
        Type: general
      – SubjectFull: Economic demand
        Type: general
      – SubjectFull: Game theory
        Type: general
    Titles:
      – TitleFull: Strategic real options with stochastic volatility in a duopoly model.
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            NameFull: Huang, Bing
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            NameFull: Cao, Jiling
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            NameFull: Chung, Hyuck
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            – D: 01
              M: 01
              Text: Jan2014
              Type: published
              Y: 2014
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              Value: 09600779
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              Value: 58
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            – TitleFull: Chaos, Solitons & Fractals
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