Effect Upon Firm's Investment Option Value By Rivals Under Incomplete Information

While the socialist market economy improving and investors become diversifying, investors further focus on profit of the project. Whether the investment decision is right, not only affects the individual investment achievement, but also impacts the market mechanism as a tool to collocate resource efficiently. Consequently, it is very important to investigate on the extent of competing inflict on the investment decision under uncertainty.As investor hold a right to invest a project, this right is similar with American Option with infinite exercise date. If the product market will share with all the players, rivals will affect the profits of the project, and along this track affect the value of the real option of the investment project indirectly. Firstly, this thesis denines and catalogs the incomplete information on the real option pricing, sumerizes the newest research paper according this catalog consequently. Secondly, under the duopoly assumption, defines the private information holder as enterprise 1; the other, follower with incomplete information, defines as enterprise 2. Then loosens the assumption of participation constraint in classical duopoly, investigates the parameters in demand function and marginal cost of enterprises inflict on the participation constraint, discusses how these parameters influence the investment option value of enterprise 1. At last, improves the method of finding equilibrium output in duopoly to multi-enterprises market. Under the assumption that there are enterprise 1 holding private information and a lot of homogeneous followers with incomplete information which named enterprise i, establishes three Stackelberg models and one Cournot models according the player's information structure. And then, investigates the participation constraint in each model, and receives the equilibrium profit and investment option value of enterprise 1 in the models, and discusses the extent of parameters affects investment option value of enterprise 1.Conclusions are as follows. Firstly, the extent of competition affects the investment optionvalue correlated with the style of product market equilibrium. This thesis shows that never the investment option of enterprise 1 is same in different models. Secondly, the extent of competition affects the investment option value correlated with the participate constraint of enterprises. There are different participate constraint in different models. Whether satisfied with the rival's participant constraint determines the enterprise become monopoly or not, thus affects investment option value. Thirdly, the extent of competition affects the investment option value correlated with the players'information structures. Either Enterprise 1 lack information of rivals or rivals lack information of enterprise 1, all damage the enterprise 1's investment option value. This proofs that Stackelberg advantage is weak, it wipes out if the information is asymmetric in the players. At last, the extent of competition affects the investment option value correlated with the number of rivals and players'characters. This thesis discusses the number of rivals, market attraction and competing advantage inflict on investment option value. The outcome is that the effect of parameters inflict upon the option value is uncertain, and conclusion is not same in each model.