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This paper considers the problem of investment timing under uncertainty in a duopoly framework. When both firms want to be the first investor a coordination problem arises. Here, a method is proposed to deal with this coordination problem, involving the use of symmetric mixed strategies. The method is based on Fudenberg and Tirole (1985, Review of Economic… (More)

As becomes apparent from the standard text books in industrial organization (cf. Tirole, 1988, The Theory of Industrial Organization), the analysis of the effects of uncertainty within this field is yet underdeveloped. This paper shows that the new theory of strategic real options can be used to fill this gap. Based on the work by Smets (1991) standard… (More)

- Jacco J. J. Thijssen
- J. Economic Theory
- 2010

In this paper a two-player real option game with a first-mover advantage is analyzed, where payoffs are driven by a player-specific stochastic state variable. It is shown that there exists an equilibrium which has qualitatively different properties from those in standard real option games driven by common stochastic shocks. The properties of the equilibrium… (More)

- Joost B. J. Vossenberg, Gilbert Mulder, Jacco J. J. Thijssen, P. L. B. Bruynzeel, M J Hamelink, Joh. Kreukniet
- Journal of clinical chemistry and clinical…
- 1979

In this study four commercially available cAMP kits were compared and shown to differ with respect to reliability, sensitivity, simplicity and expiration time. It is not possible to recommend a particular kit, because the choice depends on the demands of the investigator, which, of course, may vary. However, in our opinion, one of the kits was inferior to… (More)

The problem of irreversible investment with idiosyncratic risk is studied by interpreting market incompleteness as a source of ambiguity over the appropriate no-arbitrage discount factor. The maxmin utility over multiple priors framework is used to model and solve the irreversible investment problem. Multiple priors are modeled using the notion of… (More)

- Jacco J. J. Thijssen, Kuno J. M. Huisman, Peter M. Kort
- European Journal of Operational Research
- 2004

In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option to switch from the present market to a new market. We construct a subgame perfect equilibrium in mixed strategies and show that both preemption and attrition can occur along typical equilibrium paths. In order to determine the attrition… (More)

This paper studies the extent of the error that is made in standard contingent claim analysis, which underlies modern asset pricing theories and real option theory within a two-period general equilibrium model with incomplete markets. It is well-known that in mean-variance, or CARA-normal economies the introduction of new assets leaves the prices of… (More)

This paper values the option of a firm to downscale production in recessionary times. The regulator allows downscaling as long as the recession lasts. The end of the recession is modelled via a Poisson process. We show that the disinvestment timing is affected by two contrary effects. First, when the probability increases that the recession will be over… (More)

This paper studies timing games in continuous time where payoffs are stochastic, strongly Markovian, and spectrally negative. The main interest is in characterizing equilibria where players preempt each other along almost every sample path as opposed to equilibria where one of the players acts as if she were the (exogenously determined) leader in a… (More)