Journal article
PRIORITY OPTION: THE VALUE OF BEING A LEADER
Abstract
We consider the strategic interaction between two firms competing for the opportunity to invest in a project with uncertain future values. Starting in complete markets, we provide a rigorous characterization of the strategies followed by each firm in continuous time in the context of a timing/coordination game. In particular, the roles of leader and follower emerge from the resulting symmetric, Markov, sub-game perfect equilibrium. Comparing …
Authors
GRASSELLI MR; LECLÈRE V; LUDKOVSKI M
Journal
International Journal of Theoretical and Applied Finance, Vol. 16, No. 01,
Publisher
World Scientific Publishing
Publication Date
February 2013
DOI
10.1142/s0219024913500040
ISSN
0219-0249