策略二元樹---模型與應用

Abstract

此二年期計畫結合傳統二元樹與賽局理論，嘗試建構一個新策略二元樹。 具體來說，此模型嘗試解決，當每個二元樹結點上之賽局存在多重均衡時， 均衡選擇之問題。我們亦會探討此策略二元樹之連續時間特性。由於賽局 選擇權與可轉換公司債之發行者與持有者間存在緊密策略互動之關係，本 計畫將應用此策略二元樹來分析這二種衍生性商品之評價與最適策略。

The present two-year project attempts to construct a novel strategic binomial tree model which directly combines the traditional binomial tree model with a game-theoretic framework. Specifically, the model tries to deal with the equilibrium selection problem of games where multiple Nash equilibria exit at each node of the tree. The continuous-time counterpart of the model would be investigated as well. Our model will then be employed to analyze the valuation and optimal strategies of game options and convertible bonds since both of the two securities are involved closely in strategic interactions between issuers and holders.