A Two-stage Of Investment Project Of American Option Game

With the more and more perfect of the market economy,and more and more intense competition in the community,in some about R&D programs,more and more scholars use option game theory to solve a lot of problems.The option game theory includes real option theory and game theory.By using American exchange option,we can solve not only the game problems of investment between cofnpanies,but also the problems of investment flexibility.In the model of investment projects,the value of investment opportunities and investment flexibility are available through real option pricing,and investment and competition between companies can use game theory to analyze.In this paper,during the time t0 to t1,there are two companies which may invest in the same project.The first investment company as a leader,it can get a larger share of the market,and the second investment company is called as a follower.The second investment company can get certain investment information from the first investor and determine the optimal investment strategy under the different investment environment.According to the characteristics of the model in the article,we establish an option game model with the matching options.This paper details research and analysis the two investment companies in various investment strategies under different situations,and under the different strategies,their income equations are given respectively.In this paper,we not only can give the first investors investment strategy,but also can give the investor's optimal exercise boundary.Then,we use the finite volume method and the power penalty method to solve the option game model and corresponding numerical solution,and make the corresponding explanation on the accuracy of the results.We compare the profit equation of two investment companies,and analyze the influence of market share of the two company's investment strategy.Finally,we compare the results of the compound of American and European exchange options,and make analysis and explanation.At the same time,we also find that using the compound American exchange option game can better analysis and research these projects.At the end of this article,we give the corresponding conclusion,and put forward a series of research directions.