The Venture Capital Entry Model on Game Options with Jump-diffusion Process
博士 === 國立交通大學 === 經營管理研究所 === 99 === This study aims to apply game options to construct the optimal decision-making and management tool for venture capital (VC) firms under the assumption that a start-up company’s earnings per share follow a jump-diffusion process, which includes a geometric Brownia...
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| Format: | Others |
| Language: | en_US |
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2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/68509239932075182798 |
| Summary: | 博士 === 國立交通大學 === 經營管理研究所 === 99 === This study aims to apply game options to construct the optimal decision-making and management tool for venture capital (VC) firms under the assumption that a start-up company’s earnings per share follow a jump-diffusion process, which includes a geometric Brownian motion (continuous process) and Poisson process (discrete process) in order to evaluate highly risky VC projects. This model emphasizes the inferences with game options on the market structures formed by different competition and investment strategies of two VC firms so as to reflect the potential response investment returns. These market structures are classified into an entry-deterred game (specific monopoly), a leader’s dominated strategies (duopoly), and simultaneous investment. It is considered how to select investment timing to avoid any potential competitive threats in order to provide the optimal expected threshold values for the investment decisions of VC firms.
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