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Opzioni reali e Investimenti in Ricerca e Sviluppo

  • Rosalba Padalino

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    This paper combines the real options approach with game theory in order to evaluate the convenience to invest in Research and Development (R&D). The evaluation method adopted in this case is not based on the traditional $VAN$ but on the binomial model, which is used for the pricing of financial options. The model presented here considers a two-stage game whose players are two firms, $A$ and $B,$ which have both the option to invest in R\&D and the option to invest in production stage. Depending on the strategies carried out by the two firms, we can have different market structures (Cournot, Stackelberg, monopoly) whose final payoff values are related to the operating costs. The amount of these ones depend on the success of the R&D investment. The model examines both the case in which only one firm has the option to invest in R&D, and the case in which both the firms can invest in R&D.

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    File URL: http://www.dsems.unifg.it/abstractq0704.pdf
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    Paper provided by Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia in its series Quaderni DSEMS with number 07-2004.

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    Date of creation: May 2004
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    Handle: RePEc:ufg:qdsems:07-2004
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    1. Trigeorgis, Lenos, 1991. "Anticipated competitive entry and early preemptive investment in deferrable projects," Journal of Economics and Business, Elsevier, vol. 43(2), pages 143-156, May.
    2. Han T. J. Smit & L. A. Ankum, 1993. "A Real Options and Game-Theoretic Approach to," Financial Management, Financial Management Association, vol. 22(3), Fall.
    3. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    4. McDonald, Robert & Siegel, Daniel, 1986. "The Value of Waiting to Invest," The Quarterly Journal of Economics, MIT Press, vol. 101(4), pages 707-27, November.
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