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博士论文 A Real Options Approach to Modeling Investments in Competitive, Dynamic Retail Markets 318 页
School of Industrial and Systems Engineering
Georgia Institute of Technology
August 2008
Table of Contents
Acknowledgment…………………………………………………………..iv
List of Tables..……………………………………………………………xiii
List of Figures…………………………………….………………………xiv
Summary………………………………………………………………….xix
Chapter 1..........................................................................................................1
Introduction and Background ............................................................................................. 1
Chapter 2..........................................................................................................7
A Conceptual Real Options Framework for the Evaluation of a Retailer’s Investment
Opportunity in a Competitive, Dynamic Market ................................................................ 7
2.1 Abstract ............................................................................................................7
2.2 Introduction ......................................................................................................7
2.3 The major differences between the traditional capital budgeting approaches
and the real options approach ............................................................................................17
2.3.1 Capital budgeting ...........................................................................................17
2.3.2 Traditional capital budgeting.........................................................................18
2.3.3 Real options investment analysis approach ...................................................28
2.4 Applicability of financial-type real options models to evaluate retailers’
investment opportunities in dynamic retail markets ..........................................................32
2.4.1 Analogy between a real option on a retail store and a call option on a
common stock.....................................................................................................................33
2.4.2 Limitations of the analogy between a real option on a retail store and a call
option on a common stock..................................................................................................36
2.4.3 Categorization of investment options on the retail store ...............................38
2.4.4 Modeling the dynamic uncertainty of the value of retail market potential ....43
2.4.5 Evaluation approaches of the retailers’ investment options ..........................46
2.5 Conclusions ....................................................................................................53
Chapter 3........................................................................................................56
Evaluation of a Retailer’s Investment Option in a Competitive, Dynamic Market: a
Dynamic Programming Approach .................................................................................... 56
3.1 Abstract ..........................................................................................................56
3.2 Introduction ....................................................................................................56
3.3 Demand modeling ..........................................................................................58
3.4 A game theory approach to treat competition in the retail market.................62
3.4.1 Monopoly retail markets ................................................................................65
3.4.2 Duopoly retail markets...................................................................................67
3.5 Modeling the dynamic uncertainty of the value of retail market potential ....71
3.6 A trinomial model to approximate continuous GBM in a discrete fashion....74
3.7 A dynamic programming approach to evaluate retailers’ investment options78
3.7.1 The expected NPV of a store opened in a dynamic retail market ..................80
3.7.1.1 The expected NPV of a store opened in a dynamic monopoly market ...........80
3.7.1.2 The expected NPVs of stores opened in a dynamic duopoly market ..............83
3.7.2 The market, in which only one retailer (retailer i, i = either 1 or 2) has an
investment opportunity to enter and opens a store ............................................................86
3.7.3 The market, in which retailer 1 has a store opened and retailer 2 has an
investment opportunity to enter and open a store..............................................................88
3.7.4 The market, in which both retailers have investment opportunities and
compete to enter and open stores.......................................................................................91
3.8 A numerical example......................................................................................96
3.9 Impact of retailers’ cost structure on their optimal entry time decisions .....103
3.9.1 Two identical retailers with only the fixed cost difference...........................104
3.9.2 Two identical retailers with only the marginal cost difference....................107
3.9.3 Two identical retailers with only the investment cost difference .................110
3.9.4 Small and big retailers .................................................................................113
3.10 Sensitivity analysis .......................................................................................117
3.10.1 Sensitivity analysis for the log-volatility of retail market potential (parameter
(σ)) and its impact on retailers’ optimal investment thresholds ......................................117
3.10.2 Sensitivity analysis for the expected growth rate (parameter (α)) and its
impact on retailers’ optimal investment thresholds.........................................................122
3.10.3 Sensitivity analysis for the discount rate (parameter (ρ)) and its impact on
retailers’ optimal investment thresholds..........................................................................125
3.10.4 Sensitivity analysis to assess the impacts of the changes in retailer 1’s
marginal cost on retailers’ investment thresholds...........................................................127
3.10.5 Sensitivity analysis to assess the impacts of the changes in retailer 1’s fixed
cost on retailers’ investment thresholds ..........................................................................129
3.10.6 Sensitivity analysis to assess the impacts of the changes in retailer 1’s
investment cost on retailers’ investment thresholds ........................................................131
3.11 Comparison between the real options approach and the NPV calculation...133
3.12 How to use this real options approach in practical retail market analysis?..138
3.13 Conclusions ..................................................................................................144
Chapter 4......................................................................................................147
Evaluation of a Retailer’s Investment Options in a Competitive, Dynamic Market: a
Contingent Claims Analysis Approach........................................................................... 147
4.1 Abstract ........................................................................................................147
4.2 Introduction ..................................................................................................148
4.3 Contingent claims analysis...........................................................................150
4.3.1 Contingent claims analysis...........................................................................152
4.3.2 GBM model for dynamic uncertainty of replicating portfolio .....................155
4.3.3 The role of opportunity cost in contingent claims analysis..........................159
4.3.4 Equivalent risk neutral evaluation ...............................................................165
4.3.5 A trinomial lattice model to approximate the stochastic variation of (X’(t)) in
a discrete fashion .............................................................................................................167
4.4 An equivalent risk neutral evaluation approach to analyze retailers’
investment options ...........................................................................................................170
4.5 Impact of retailers’ cost structure on their optimal entry time decisions .....175
4.5.1 Two identical retailers with only the fixed cost difference...........................176
4.5.2 Two identical retailers with only the marginal cost difference....................179
4.5.3 Two identical retailers with only the investment cost difference .................182
4.5.4 Small and big retailers .................................................................................185
4.6 Sensitivity analysis .......................................................................................189
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