Equilibrium Real Options Exercise Strategies with Multiple Players: The Case of Real Estate Markets
推导了垄断、双头垄断、寡头垄断和竞争市场下随机收益和成本的均衡实物期权执行模型的闭式解，发现房地产市场中最优期权执行策略与金融市场相反，强调分析时需关注市场制度细节。
This article derives a closed‐form solution for an equilibrium real options exercise model with stochastic revenues and costs for monopoly, duopoly, oligopoly and competitive markets. Our model also allows one option holder to have a greater production capacity than others. Under a monopolistic environment we find that the optimal option exercise strategy in real estate markets is dramatically opposite to that in a financial (warrant) market, indicating the importance of paying attention to the institutional details of the underlying market when analyzing option exercise strategies. Our model can be generalized to the pricing of convertible securities and capital investment decisions involving both stochastic revenues and costs under different types of market structures.