Abstract The Real Options (RO) approach is a powerful tool for decision analysis in dynamic
or non-stationary stochastic settings, as it considers the value of decision flexibility under …

By mixing concepts from both game theoretic analysis and real options theory, an
investment decision in a competitive market can be seen as a “game” between firms, as …

This paper considers the problem of investment timing under uncertainty in a duopoly
framework. When both firms want to be the first investor a coordination problem arises. Here …

In this study, we investigate optimal investment timing and capacity decisions in the
presence of time-to-build and competition. Due to uncertain time-to-build, a leader, who …

We study a stochastic version of Fudenberg–Tirole's preemption game. Two firms
contemplate entering a new market with stochastic demand. Firms differ in sunk costs of …

We construct subgame-perfect equilibria with mixed strategies for symmetric stochastic
timing games with arbitrary strategic incentives. The strategies are qualitatively different for …

This paper provides a real option methodology in order to value a pioneer's R&D investment
opportunity allowing for more potential competitors to enter in the market. To incorporate this …

We consider a dynamic duopoly game where firms choose both the timing and size of their
investments. The existing real options literature predominantly consists of contributions …

In this paper, we study an investment game between two firms with a first-mover advantage,
where payoffs are driven by a geometric Brownian motion. At least one of the firms is …

We consider the classical investment timing problem in a framework where the
instantaneous volatility of the project value is itself given by a stochastic process, hence …