賽局選擇權之創業投資進入模式：跳躍擴散過程

Abstract

本文運用賽局選擇權導入新創公司之每股盈餘(EPS)，服從跳躍擴散過程之幾何布朗運動(連續過程)及布阿松過程(離散過程)下，建構創業投資事投資新創公司之決策管理工具，用以評估高風險之創業投資專案。本模型主要針對兩家創業投資事業，依其不同競爭投資策略行為，所反應潛在收益所形成之不同市場結構：特殊獨佔(entry-deterred game)、雙佔(leader’s dominated strategies)、與同時投入(investment simultaneously)進行賽局選擇權進入模式推導，及如何利用投資時機避開潛在競爭威脅，提供創投企業最適投資決策期望門檻值。

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.