二维信息不对称下的实物期权投资研究

Chinese Journal of Management Science ›› 2008, Vol. 16 ›› Issue (3): 137-144.

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Real Option Investment under Two-Dimensional Information Asymmetry

LIANG Shuo¹, TANG Xiao-wo², NI De-bing²

1. Management School, China Ocean University, Qingdao 266071, China;
2. Management School, Electronics Science and Technology University, Chengdu 610054, China

Received:2007-01-02 Revised:2008-05-25 Online:2008-06-30 Published:2008-06-30

Abstract

Abstract: Studied real option investment in a two-dimensional information asymmetry framework.Under the assumption that two asymmetric parameters' distribution function is two-point distribution,we found that the trigger values of different type agents have four kinds of equilibriums,which are separated equilibrium,bunching equilibrium and two kinds of partially bunching equilibriums.We analyzed the conditions for each kind of equilibrium to exists,and the effect of correlation change on equilibrium status.

Key words: Real option, agency problem, two-dimensional hidden information

CLC Number:

F830.59

LIANG Shuo, TANG Xiao-wo, NI De-bing. Real Option Investment under Two-Dimensional Information Asymmetry[J]. Chinese Journal of Management Science, 2008, 16(3): 137-144.

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Real Option Investment under Two-Dimensional Information Asymmetry

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