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Title: Real competiton games in duopoly setting with two stochastic factors
Author: Pinto, Maria Helena Ferreira
Awarding Body: University of Manchester
Current Institution: University of Manchester
Date of Award: 2004
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This thesis analyses real options in competitive settings. We develop four real option models for competitive settings and one model for a monopolist's decision to invest. In the first model, the profits per unit and the number of units follow two different stochastic paths. In the second model, the profits and the investment cost pursue different paths. In the third model a monopolistic investor has the option to invest in a market where the number of units sold follows a stochastic birth and death process. The fourth and the fifth model are, similarly to the first two models, developed for competitive settings. In the fourth model the profits follow a stochastic process and there is a random time delay between the moment that the second firm enters the market (invests) and the moment that the firm starts its sales. In the fifth model there is also a time delay between the moment of entry and the moment of the first sales, but two stochastic factors are considered: the profits and the investment cost. For the competition models we analyse dissimilar games considering that the roles of the players are endogenous and also exogenous to the models, assuming that the first mover has a competitive advantage over the second mover. Closed form solutions are obtained for the value functions of the first and second mover and for their trigger functions, and numerical solutions are given for the trigger of the first mover in pre-emption settings. A numerical solution is presented for the monopolist's decision to invest. The introduction of third generation mobile technology in Portugal is analysed as an application of the competition models.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available