Aplikace reálných opcí v kombinaci s teorií her

Abstract

This thesis focuses on investment decisionmaking in a game theory conception. Game theory problems, together with division of games and algorithms that seeks the equilibrium of strategies are described in the introductory part of this work. The second part is devoted to the real option as a flexible tool of controlling and valuation of investments. The thesis also covers discrete binomial model of valuation by replication strategy together with particular types of real options. Another part is devoted to Cournot’s and Stackelberg’s doupol model, from which equilibrium strategies, based on reaction curves, are derived. In the conclusion, we describe, through the game theories, determination of equilibrium strategies in the case of real investment with flexible inteference and consecutively we evaluate by real options. The thesis also performs the sensitivity analysis and decomposition of partial effects, which determine the value of base case of the project, proprietary and share investment into the new technology.