Open-loop equilibria and perfect competition in option exercise games

Review of Financial Studies

Volumn 22, Issue 11, 2009, Pages 4531-4552

  Back, Kerry ^a   Paulsen, Dirk ^b  

^a TEXAS A AND M UNIVERSITY   (United States)

^b UNIVERSITY OF BONN   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 71949114832     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhp046     Document Type: Article

References (17)

1. Abel, A. B., and J. C. Eberly. 1996. Optimal Investment with Costly Reversibility. Review of Economic Studies 63:581-593
2. Baldursson, F. M. 1998. Irreversible Investment under Uncertainty in Oligopoly. Journal of Economic Dynamics and Control 22:627-644
3. Baldursson, F. M., and I. Karatzas. 1997. Irreversible Investment and Industry Equilibrium. Finance and Stochastics 1:69-89.
4. Bank, P. 2005. Optimal Control under a Dynamic Fuel Constraint. SIAM Journal on Control and Optimization 44:1529-1541
5. Fershtman, C., and E. Muller. 1984. Capital Accumulation Games of Infinite Duration. Journal of Economic Theory 33:322-339
6. Fudenberg, D., and J. Tirole. 1992. Game Theory. Cambridge, MA: MIT Press.
7. Grenadier, S. R. 2002. Option Exercise Games: An Application to the Equilibrium Investment Strategies of Firms. Review of Financial Studies 15:691-721.
8. Harrison, J. M. 1985. Brownian Motion and Stochastic Flow Systems. New York: Wiley.
9. Karatzas, I., and S. Shreve. 1984. Connections between Optimal Stopping and Singular Stochastic Control. I. Monotone Follower Problems. SIAM Journal on Control and Optimization 22:857-877
10. Leahy, J. V. 1993. Investment in Competitive Equilibrium: The Optimality of Myopic Behavior. Quarterly Journal of Economics 108:1105-1133
11. Merhi, A., and M. Zervos. 2005. AModel for Reversible Investment Capacity Expansion.Working Paper, King's College, London.
12. Novy-Marx, R. 2007. Real Options and Investment in a DynamicModel of Oligopoly.Working Paper, University of Chicago.
13. Øksendal, B. 2002. Stochastic Differential Equations, 6th ed. Berlin: Springer.
14. Paulsen, D. 2006. Stochastic Oligopoly Games under Irreversibility. Master's dissertation, University of Bonn.
15. Reynolds, S. S. 1987. Capacity Investment, Preemption and Commitment in an Infinite Horizon Model. International Economic Review 28:69-88.
16. Simon, L. K., and M. B. Stinchcombe. 1989. Extensive Form Games in Continuous Time: Pure Strategies. Econometrica 57:1171-1214
17. Tirole, J. 1988. Theory of Industrial Organization. Cambridge, MA: MIT Press.