Opzioni reali e Investimenti in Ricerca e Sviluppo

Abstract

This paper combines the real options approach with game theory in order to evaluate the convenience to invest in Research and Development (R&D). The evaluation method adopted in this case is not based on the traditional $VAN$ but on the binomial model, which is used for the pricing of financial options. The model presented here considers a two-stage game whose players are two firms, $A$ and $B,$ which have both the option to invest in R\&D and the option to invest in production stage. Depending on the strategies carried out by the two firms, we can have different market structures (Cournot, Stackelberg, monopoly) whose final payoff values are related to the operating costs. The amount of these ones depend on the success of the R&D investment. The model examines both the case in which only one firm has the option to invest in R&D, and the case in which both the firms can invest in R&D.Real Options; Game Theory