要旨 |
Deregulated infrastructure industries, such as those for energy and telecommunications, often exhibit uncertain market prices, investment decisions by private firms, and competition for market share. Given discretion over investment timing and capacity sizing, the real options approach has been applied to these industries. However, most of these applications ignore the effect of competition and assume monopolistic settings. By contrast, strategic real options models assume a single investment decision for each firm. Here, we model a two-stage investment game under uncertainty and discretion over timing. It captures salient features of deregulated infrastructure industries such as a stochastic output price, lumpy and modularised investment, and the threat of entry from rivals. Via a dynamic programming approach that integrates game theory, we are able to account for both decision-theoretic and strategic effects using an analytical model.
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