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基于期权博弈的企业研发策略选择研究

A Research on Enterprise R&D Strategy Selection in the Light of Option Game Theory

作者: 专业:经济系统分析与管理 导师:兆文军 年度:2010 学位:硕士  院校: 大连理工大学

Keywords

Option Game, Real Option, Research and Development Strategy

        企业的研究与开发策略是指相互竞争的企业在技术创新和新技术采用方面的竞争策略,不确定性是其基本特征。企业研发中的不确定性主要来源于两个方面:一是技术的不确定性;二是市场的不确定性。随着实物期权理论在研发策略研究中的不断深入,研发的策略互动特征对于企业正确选择研发投资策略的意义凸显。如此一来,结合实物期权和博弈论的期权博弈方法,既考虑不确定下的实物期权的价值,也考虑主体博弈下的策略互动价值,也就自然成为研发策略研究的前沿。本文运用期权博弈理论对企业研发策略选择进行了研究,并构建了一个两企业两阶段的研发竞赛模型。在传统的研发竞赛模型中,只考虑了研发竞赛中可能存在的溢出效应,但在现实中,由于企业研发信息的保密性以及研发过程的时效性等,溢出效应在研发竞赛中体现出的应该是研发信息的相关性,即先行者研发的结果将对跟随者的研发产生影响。在建立模型的基础上,运用模拟数据,对企业研发决策模型进行进一步的检验。结果发现,新产品研发市场的总价值越大,两个企业越倾向于进行研发投资,而这里研发成功率高的企业将优先于另一家企业在更低的目标研发市场价值上进行研发投资。因此,新产品研发市场价值是决定企业研发决策的一个重要影响因素。通过数据模拟及仿真分析中,得到了以下结论:当目标研发市场的价值较低时,企业A和B均会选择等待策略。随着目标研发市场价值的增加,由于企业A比企业B有更高的研发成功率,具有先天的研发优势,从而导致了企业A可以在更低的预期目标市场价值下选择研发投资,而此时企业B只能选择等待策略。当目标研发市场进一步扩大时,就会出现两个纳什均衡点。此时企业A和B只有一方可以选择研发而另一方相应的选择跟随。最后当目标研发市场研发价值足够高时,两个企业均会选择研发投资,此时的市场收益会远远高于自己的研发成本。
    The competition policy of companies in the field of technical innovation and new technology adoption was generally called research and development, but uncertainty is the basic feature of development strategies. The uncertainty of the enterprise development is mainly from the two sides:one is a technical uncertainty; two is the market uncertainty. As the further development of real option theory in the study of develop strategies, the interactive features of development is more important for the right development choice of enterprises. So with the combination of real option and game theory, considering real option value under uncertainty, and also conclude the value of the interactive decision, has become the study frontiers.The paper study the choice of enterprises R&D strategy using option game theory, and establishes a two stages of the enterprise development model for two firms. In the traditional development model, spillover effect of R&D is considered only, but in reality, because of security of the enterprise development information and timeliness of development process, spillover effect of R&D should be a correlation R&D information. The so-called information correlation is that the outcome of the leader’s R&D will influent the follower’s. On the basis of the model, we have made some synthetic data to test the model. In the simulation analysis, we find that both the firms will invest if the total value of the new product development become higher, and the enterprise which has higher success rate of R&D will invest at first in a lower target development market value. Thus, we can see that the new product development market value is an important influence factors of enterpriser’s R&D decision.From simulation analysis, we can find:When the development market value is low, firm A and firm B will select the wait strategy. As the target market value increased, firm A will choose to incest in R&D at first, because firm A has a higher rate of success development more than firm B’s, so firm B could only choose to wait. As the target market value further increased, there will be two Nash equilibriums, one party may choose to develop and the other party has to choose to follow. At last, when the target market value is enough higher, both two firms will choose to develop investment, because the benefits from R&D will far exceeds its own development costs and thereby give up the follow strategy.
        

基于期权博弈的企业研发策略选择研究

摘要4-5
Abstract5
1 绪论8-17
    1.1 选题背景及意义8-9
    1.2 相关研究综述9-15
        1.2.1 实物期权研究综述9-12
        1.2.2 期权博弈研究综述12-13
        1.2.3 研发策略选择研究综述13-15
    1.3 研究方法及技术路线15-16
    1.4 创新点16-17
2 企业研发决策的期权博弈特征17-25
    2.1 企业研发策略的类型及影响因素17-19
        2.1.1 企业研发策略的类型17
        2.1.2 企业研发策略的影响因素17-19
    2.2 研发决策的期权特征19-22
        2.2.1 成本的不可逆性19-20
        2.2.2 研发的不确定性20-21
        2.2.3 研发决策的阶段性21-22
    2.3 研发决策的博弈性22-25
        2.3.1 研发决策的管理柔性22-23
        2.3.2 研发决策的竞争性23-25
3 基于期权博弈的企业研发决策模型25-39
    3.1 一般分析框架及基本假设25-28
        3.1.1 期权博弈的一般分析框架25-26
        3.1.2 期权博弈模型的基本假设26-28
    3.2 基于期权博弈的企业研发决策模型构建28-36
        3.2.1 欧式期权定价模型28-30
        3.2.2 先后研发时的收益函数30-33
        3.2.3 同时研发时的收益函数33-34
        3.2.4 同时等待时的收益函数34-36
    3.3 收益矩阵的均衡分析36-39
4 企业研发策略的选择:数值模拟及仿真分析39-50
    4.1 案例基本情况及数据预处理39-41
        4.1.1 案例基本情况39-40
        4.1.2 数据预处理40-41
    4.2 纳什均衡的求解41-47
        4.2.1 收益函数的求解41-42
        4.2.2 不同目标市场价值下的纳什均衡42-46
        4.2.3 纳什均衡的结果分析46-47
    4.3 均衡解的波动性分析47-50
        4.3.1 相关系数对均衡解的影响47-48
        4.3.2 先动优势对均衡解的影响48
        4.3.3 均衡解的其他影响因素48-50
5 结论50-52
参考文献52-55
攻读硕士学位期间发表学术论文情况55-56
致谢56-58
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