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研究生： 彭維烺
Pang, Wei-Lang
論文名稱： The leader's option Under Duopoly Market Model-Real Options Approach
The leader's option Under Duopoly Market Model-Real Options Approach
指導教授： 王明隆
Wang, Ming-Long
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2005
畢業學年度： 93
語文別： 英文
論文頁數： 55
中文關鍵詞： 無
外文關鍵詞： Stackelberg duopoly, real option
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    A variety of real options literatures assume perfect competition and analyses the effect of exogenous uncertainty. In this article we endogenize market structure to discuss strategic value. Because strategy matters for competitive companies, we introduce the Stackelberg duopoly market model to analyze the behavior of competitive companies. However traditional capital budgeting is insufficient in reflecting strategic value duo to flexible management. Therefore, we use the concept of real option to evaluate the strategic value.
    There is a leader and a follower in Stackelberg model, we focus on the value the leader firm can create duo to its advantageous position in the industry. The leader adjusts its output level by changing cost structure based on the expectation about the future scale of demand. If it expects that the future scale of demand is strong, it would invest more fixed cost on infrastructure and technology to derive efficiency and capacity in advance. This is the concept of growth option. On the contrary, if it expects that the future scale of demand is weak, it would save fixed cost on infrastructure and technology but losses efficiency and capacity. This is similar to the concept of the contract option. Therefore, the leader firm in oligopolistic market has the hybrid real option, but is mutually exclusive, in creating value.

    1. Introduction..........................................................1 1.1 Motivation.........................................................1 1.2 Purpose............................................................3 1.3 Organization.......................................................3 2. Literature Review.....................................................4 2.1 Capital Budgeting..................................................4 a. Definition and property of capital budgeting.......................4 b. Net Present Value..................................................5 2.2 Introduction of Real option........................................6 a. Concept of real option................................................6 b. Difference between Traditional Capital Budgeting and Real Option...8 c. Types of real option..............................................10 2.3 Methods for Evaluating Real Option Value..........................15 2.4 Theories of Imperfect competition.................................16 a. Introduction of Stackelberg duopoly...............................16 b. Real options under Imperfect competition..........................17 3. Methodology..........................................................19 3.1 Equilibrium under Stackelberg duopoly.............................19 a. Definition of Demand function.....................................19 b. Definition of Cost function.......................................20 c. Equilibrium profits under pure Stackelberg duopoly................22 3.2 Situation of high fixed cost with low variable cost...............24 a. Analysis of the threshold and net gain function of leader option..25 b. Sensitivity analysis of net gain function.........................27 3.3 Situation of low fixed cost with high variable cost...............29 a. Analysis of the threshold and net gain function of leader option..30 b. Sensitivity analysis of net gain function.........................32 3.4 Decision rule and Executing criteria about Leader option..........33 4. Numerical Example....................................................36 4.1 Example of high fixed cost with low unit variable cost............36 a. The impact of different cost multipliers..........................37 b. The impact of volatility of the scale of demand...................38 c. The impact of initial unit variable cost..........................39 d. The impact of initial fixed cost..................................40 4.2 Example of low fixed cost with high unit variable cost............41 a. The impact of different cost multipliers..........................42 b. The impact of volatility of the scale of demand...................43 c. The impact of initial unit variable cost..........................44 d. The impact of initial fixed cost..................................45 5. Conclusion and Suggestion of Further Study...........................46 5.1 Conclusion........................................................46 5.2 Suggestion of Further Study.......................................47 References..............................................................48 Appendix................................................................50

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