2013/09/07 by Adrien Nguyen Huu, Huu, Adrien Nguyen
Economics, Econometrics and Finance · #Capital Investment and Risk Analysis #Computer Science and Game Theory (cs.GT) #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Merger and Competition Analysis #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Risk Management (q-fin.RM) #Stochastic processes and financial applications
paper · doi:10.48550/arxiv.1309.1844
openalex publication_date 2013/09/07 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We investigate a randomization procedure undertaken in real option games which can serve as a basic model of regulation in a duopoly model of preemptive investment. We recall the rigorous framework of [M. Grasselli, V. Leclère and M. Ludkovsky, Priority Option: the value of being a leader, International Journal of Theoretical and Applied Finance, 16, 2013], and extend it to a random regulator. This model generalizes and unifies the different competitive frameworks proposed in the literature, and creates a new one similar to a Stackelberg leadership. We fully characterize strategic interactions in the several situations following from the parametrization of the regulator. Finally, we study the effect of the coordination game and uncertainty of outcome when agents are risk-averse, providing new intuitions for the standard case.