This bibliographycal list includes papers, books and dissertations mainly about option-games - the combination of options pricing theory with game theoretic concepts. There are few references that even not being option games, are important references for the option games literature - e.g., Fudenberg & Tirole, 1985, on preemption games; and Leahy, 1993, on the optimality of myopic behavior.
Papers not included in this list can be included in the next updates. I'll be grateful to the readers who let me aware of option-games papers not included here. My e-mail is: marcoagd@pobox.com
Andersen, T.M. & M.S. Christensen (2002): "Contract Renewal
under Uncertainty"
Journal of Economic Dynamics & Control, vol.26, 2002, pp.637-652
Anderson, R.W. & C. Tu (1998): "Numerical Analysis of Strategic
Contingent Claims"
Computational Economics, 1998, vol.11, pp.3-19
Baba, N. (2000): "Uncertainty, Monitoring Costs, and Private Banks'
Lending Decisions in a Duopolistic Loan Markets: A Game-Theoretic Real
Options Approach"
Institute for Monetary and Economic Studies, Bank of Japan, Discussion
Papers Series 2000-E-20, August 2000, 34 pp.
Baldursson, F.M. (1998): "Irreversible Investment under Uncertainty
in Oligopoly"
Journal of Economic Dynamics & Control, vol.22, 1998,
pp.627-644
Baldursson, F.M. & I. Karatzas (1997): "Irreversible Investment
and Industry Equilibrium"
Finance and Stochastics, vol.1, 1997, pp.69-89
Baldwin, C.Y. & K. Clark (2002): "Institutional Forms, Part 1:
The Technology of Design and Its Problems"
Working Paper, Harvard Business School, March 2002, 28 pp.
Balmann, A. & O. Mubhoff (2002): "Real
Options and Competition: The Impact of Depreciation and Reinvestment"
Paper presented at the 6th Annual International
Conference on Real Options, Cyprus, July 2002, 25 pp.
Bjerksund, P. & Stensland (2000): "A Self-Enforced Dynamic
Contract for Processing of Natural Resources"
in Brennan, M.J. & L. Trigeorgis, Eds., Project Flexibility,
Agency, and Competition – New Developments in the Theory and
Applications of Real Options, Oxford University Press, 2000,
pp.109-127
Botteron, P. & M. Chesney & R. Gibson-Asner (1999): "An
Application of Exotic Options to Firms' Strategic Delocatization Policies
under Exchange Rate Risk"
Paper presented at the to the 3rd Annual International Conference on Real
Options, June 1999, Netherlands, 31 pp.
Browne, S. (1998): "Stochastic Differential Portfolio Games"
Working Paper, Columbia University, June 1998, 27 pp.
Caplin, A. & J. Leahy (1998): "Miracle on Sixth Avenue:
Information Externalities and Search"
Economic Journal, vol.108, January 1998, pp.60-74
Caplin, A. & J. Leahy (1994): "Business as Usual, Market
Crashes, and Wisdom After the Fact"
American Economic Review, vol.84, no 3, June 1994,
pp.548-565
Chamley, C. & D. Gale (1994): "Information Revelation and
Strategic Delay in a Model of Investment"
Econometrica, vol. 62, no 5 - September, 1994,
pp.1065-1085
Chan-Lau, J.A. & P.B. Clark (1998): "Fixed Investment and
Capital Flows: A Real Options Approach"
IMF Working Paper WP/98/125, August 1998, 28 pp.
Cottrell, T. & G. Sick (2002): "Real Options and Follower
Strategies: The Loss of Real Options Value to First-Mover Advantage"
Engineering Economist, vol.47, no 3, 2002, pp.
232-263
Cottrell, T. & G. Sick (2001): "First-Mover (Dis)Advantage and
Real Options"
Journal of Applied Corporate Finance, vol.14, no 2,
Summer 2001, pp.41-51
Courtney, H. & J. Kirkland & P. Viguerie (1997): "Strategy
under Uncertainty"
Harvard Business Review, November-December 1997, pp.66-79
Décamps, J-P. & T. Mariotti (1999): "Irreversible
Investment with Leaning Externalities"
Paper presented at the to the 3rd Annual International Conference on Real
Options, June 1999, Netherlands, 31 pp.
Dias, M.A.G. (1997): "The Timing of Investment in E&P:
Uncertainty, Irreversibility, Learning, and Strategic Consideration"
SPE paper no 37949, presented at 1997 SPE Hydrocarbon
Economics and Evaluation Symposium, Dallas 16-18 March 1997, Proceedings
pp.135-148
Dias, M.A.G. & J.P. Teixeira (2003): "Continuous-Time Option
Games: Review of Models and Extensions - Part 1: Duopoly under Uncertainty"
Working Paper, Dept. Industrial Eng., March 2003, 38 pp.
Doraszelski, U. (2001): "The Net Present Value Method versus the
Option Value of Waiting: A Note on Farzin, Huisman and Kort (1998)"
Journal of Economic Dynamics & Control, vol.25, 2001, pp.1109-1115
Duffie, D. & J. Geanakoplos & A. Mas-Colell & A. McLennan
(1994): "Stationary Markov Equilibria"
Econometrica, vol. 62, no 4, July 1994,
pp.745-781
Dutta, P.K. & A. Rustichini (1995): "(s, S) Equilibria in
Stochastic Games"
Journal of Economic Theory, vol.67, 1995, pp.1-39
Dutta, P.K. & A. Rustichini (1993): "A Theory of Stopping Time
Games with Applications to Product Innovation and Asset Sales"
Economic Theory, vol.3, 1993, pp.743-763
Farzin, Y.H. & K.L.M. Huisman & P.M. Kort (1998): "Optimal
Timing of Technology Adoption"
Journal of Economic Dynamics and Control, vol.22, 1998,
pgs.779-799
Fudenberg, D. & J. Tirole (1985): "Pre-emption and Rent
Equalisation in the Adoption of New Technology"
Review of Economic Studies, vol.52, 1985, pp.383-401
Gomes, L.L. (2002): "Avaliação de Termelétricas
no Brasil Estudando o Melhor Momento de Investimento por Modelos de Opções
Reais" ("Thermoelectric Evaluation in Brazil Studying the
Best Investment Timing by Real Options Models")
Doctoral Dissertation, Dept. of Industrial Engineering, PUC-Rio, April
2002, 105 pp. (option-games: chapter 4)
Grenadier, S.R. (2003): "An Equilibrium Analysis of Real Estate
Leases"
NBER Working Paper 9475, January 2003, 40 pp.
Grenadier, S.R. (2002): "Option Exercise Games: An Application to
the Equilibrium Investment Strategies of Firms"
Review of Financial Studies, vol.15, Summer 2002, pp.691-721 (slightly
updated version of the Working Paper, Stanford University, November 2000)
Grenadier, S.R. (2000a): "Option Exercise Games: The Intersection
of Real Options and Game Theory"
Journal of Applied Corporate Finance, vol.13, no 2,
Summer 2000, pp.99-107
Grenadier, S.R., Eds. (2000b): "Game Choices – The
Intersection of Real Options and Game Theory"
Risk Books, 2000, 395 pp.
Grenadier, S.R. (2000c): "Equilibrium with Time-to-Build: A Real
Options Approach"
in Brennan & Trigeorgis, Eds., Project Flexibility, Agency, and
Competition, Oxford University Press, 2000, pp.275-296
Grenadier, S.R. (1999): "Information Revelation Through Option
Exercise"
The Review of Financial Studies, Spring 1999, vol.12, no
1, pp.95-129
Grenadier, S.R. (1996): "Strategic Exercise of Options: Development
Cascades and Overbuilding in Real Estate Markets"
Journal of Finance, vol.51, no 5, December 1996,
pp.1653-1679
Harris, C. & J. Vickers (1995): "Innovation and Natural
Resources: a Dynamic Game with Uncertainty"
Rand Journal of Economics, vol.26, no 3, Autumn 1995,
pp.418-430
Holden, C.W. & A. Subrahmanyam (1992): "Long-Lived Private
Information and Imperfect Competition"
Journal of Finance, vol.47, no 1, March 1992,
pp.247-270
Hoppe, H.C. (2001): "The Timing of New Technology Adoption:
Theoretical Models and Empirical Evidence"
Working Paper, Universität Hamburg, April 23, 2001, 23 pp.
Hoppe, H.C. (2000): "Second-Mover Advantages in the Strategic
Adoption of New Technology under Uncertainty"
International Journal of Industrial Organization, no
18, 2000, pp.315-338
Hoppe, H.C. & U. Lehmann-Grube (2001): "Second-Mover Advantages
in Dynamic Quality Competition"
Journal of Economics & Management Strategy, vol.10 no
3, Fall 2001, pp.419-433
Huisman, K.J.M. (2001): "Technology Investment: A Game Theoretic
Real Options Approach"
Kluwer Academic Pub., Boston (MA, USA), 2001, 259 pp.
Huisman, K. J. M. & P. M. Kort (2000): "Strategic Technology
Adoption Taking Into Account Future Technological Improvements: A Real
Options Approach"
Working Paper, Cnter of Economic Research no 2000-52,
Tilburg University, May 2000, 41 pp.
Huisman, K. J. M. & P. M. Kort (1999): "Effects of Strategic
Interactions on the Option Value of Waiting"
Working Paper, Tilburg University, September 1999, 41 pgs.
Huisman, K. J. M. & P. M. Kort (1998): "Strategic Investment in
Technological Innovations"
Working Paper, Tilburg University, October 1998, 31 pp.
Jankensgård, H. (2001): "The Option to Defer - Modeling the
Opportunity Cost under Competition"
Bachelor's Thesis from the Dalarna University (Sweden), 2001, 57 pp.
Joaquin, D.C. & K.C. Butler (2000): "Competitive Investment
Decisions: A Synthesis"
in Brennan, M.J. & L. Trigeorgis, Eds., Project Flexibility,
Agency, and Competition - New Developments in the Theory and Applications
of Real Options, Oxford University Press, 2000, pp.324-339
Kester, W.C. (1984): "Today’s Options for Tomorrow’s
Growth"
Harvard Business Review, no 62, March-April 1984,
pp.153-160
Kogan, L. (2001): "An Equilibrium Model of Irreversible Investment"
Journal of Financial Economics, vol.62, November 2001, pp.201-245
Kreps, D.M. & J.A. Scheinkman (1983): "Quantity Precommitment
and Bertrand Competition Yield Cournot Outcomes"
Bell Journal of Economics, vol.14, 1983, pp.326-338
Kulatilaka, N. & E.C. Perotti (1998): "Time-to-Market
Capability as a Stackelberg Growth Option"
Working Paper, Boston University and University of Amsterdam, December
1998, 17 pp.
Kulatilaka, N. & E.C. Perotti (1997): "Strategic Growth Options"
Management Science, vol.44, no 8, August 1998,
pp.1021-1031; and Working Paper, Boston University and University of
Amsterdam, July 1997, 24 pp.
Kyle, A.S. (1985): "Continuous Auctions and Insider Trading"
Econometrica, vol.53, no 6, November 1985,
pp.1315-1335
Lambrecht, B.M. (2001): "The Timing and Terms of Mergers, Stock
Offers and Cash Offers"
Working Paper, University of Cambridge, February 2001, 51 pp.
Lambrecht, B. (1998): "The Impact of Debt Financing on Entry and
Exit in a Duopoly"
Working Paper, Cambridge University, September 1998 (earlier version
presented at the 2nd Annual Real Options Conference at
Northwestern University, June 1998), 43 pp.
Lambrecht, B. (1996): "Strategic Sequential Investments and
Sleeping Patents"
Working Paper, Cambridge University, December 1996, 33 pp.
Lambrecht, B. & W. Perraudin, (1999): "Real Options and
Preemption Under Incomplete Information"
Paper presented at the 3rd Annual International Conference on
Real Options, Wassenaar, The Netherlands, June 1999, version of December
1998, 41 pp.
Lambrecht, B. & W. Perraudin (1996): "Real Option and
Preemption"
Working Paper, Cambridge University and Birkbeck College (London) and
CEPR, 35pp.
Lambrecht, B. & W. Perraudin (1994): "Option Games"
Working Paper, Cambridge University and CEPR (UK), August 1994, 17 pp.
Leahy, J.V. (1993): "Investment in Competitive Equilibrium: The
Optimality of Myopic Behavior"
Quarterly Journal of Economics, 1993, pp.1105-1133
Lee, T. (2000): "The Determinants of Owenership Structure of
International Joint Ventures – A Real Options Approach"
Working Paper, Takming Junior College of Commerce, Taiwan, 2000, 21 pp.
Lieberman, M.B. & D.B. Montgomery (1988): "First Mover
Advantages"
Strategic Management Journal, vol.9, 1988, pp.41-58
Lukack, R. & P. Kort & Plasmans, J. (2002): "Strategic
Dynamic R&D Investments"
Paper presented at the 6th Annual International
Conference on Real Options, Coral Beach, Paphos, Cyprus, July 2002, 13
pp.
Maeland, J. (2002): "Asymmetric Information and Irreversible
Investments: Competing Agents"
Paper presented at the 6th Annual International
Conference on Real Options, Coral Beach, Paphos, Cyprus, July 2002, 23
pp.
Maeland, J. (2001): "Valuation of an Irreversible Investment
Involving Agents with Private Information about Stochastic Costs"
Working Paper, Norwegian School of Economics and Business Administration,
April 2001, 5th Annual International Conference on Real
Options, UCLA, July 2001, 30 pp.
Maeland, J. (1999): "Valuation of Irreversible Investment and
Agency Problems"
Paper presented at the to the 3rd Annual International
Conference on Real Options, June 1999, Wassenaar, The Netherlands, 23 pp.
Martzoukos, S.H. & E. Zacharias (2002): "Real Option Games with
Incomplete Information and Spillovers"
Paper presented at the 6th Annual International
Conference on Real Options, Coral Beach, Paphos, Cyprus, July 2002, 50
pp.
Maskin, E. & J. Tirole (2001): "Markov perfect Equilibrium –
I. Observable Actions"
Journal of Economic Theory, vol.100, 2001, pp. 191-219
Mason, R. & H. Weeds (2000): "Networks, Options and Preemption"
Paper presented at the 4th Annual International Conference on
Real Options, July 2000, University of Cambridge, 41 pp.
Mauer, D.C. & S.H. Ott (2000): "Agency Costs, Underinvestment,
and Optimal Capital Structure – The Effect of Growth Options to
Expand"
in Brennan, M.J. & L. Trigeorgis, Eds., Project Flexibility,
Agency, and Competition – New Developments in the Theory and
Applications of Real Options, Oxford University Press, 2000,
pp.151-179
Milgrom, P.R. & R.J. Weber (1985): "Distributional Strategies
for Games with Incomplete Information"
Mathematics of Operations Research, vol.10, no 4,
November 1985, pp.619-632
Miltersen, K.R. & E.S. Schwartz (2002): "R&D Investments
with Competitive Interactions"
Working Paper no 11-02, UCLA, September 2002, 35 pp.
Moretto M. (2000): &Irreversible Investment with Uncertainty and Strategic Behavior&
Economic Modelling, vol. 17, 2000, pp.589-617
Moretto, M. & S. Pastorello (1995): "Entry-Exit Timing and
Profit Sharing"
Working Paper, Università di Padova & Università di
Bologna, Italy, September 1995
Moretto, M. & G. Rossini (1997): "Profit Sharing Regulation and
Repeated Bargaining with Shut-Down Option"
Economic Design, vol.2, no 4, 1997, pp.339-368
Moretto, M. & G. Rossini (1995): "The Shut Down Option and
Profit Sharing"
Journal of Comparative Economics, vol.21, 1995, pp.154-186
Murto, P. (2002): "Exit in Duopoly under Uncertainty"
Working Paper, Helsinki University of Technology, August 2002, 42 pp.
Murto, P. & E. Näsäkkälä & J. Keppo (2002): "Timing
of Investments in Oligopoly under Uncertainty: A Framework for Numerical
Analysis"
Working Paper, Helsinki University of Technology & University of
Michigan, 2002, 30 pp.
Nordal, K.B. (1997): "Investment and Taxation – A Bargaining
Approach to the Oil Industry"
Paper presented in Copenhagen Symposium on Real Options, September 1997,
28 pp.
Novy-Marx, R. (2003): "An Equilibrium Model of Investment under
Uncertainty"
Working Paper, University of California at Berkeley, February 2003, 56
pp.
Østbye, S. (1998): "Real Options, Wage Bargaining, Factor
Subsidies and Employment"
Applied Economics, vol.30, 1998, pp. 335-344
Paris, F.M. (2001): "A Compound Option Model to Value Moral Hazard"
Journal of Derivatives, Fall 2001, pp. 53-61
Pawlina, G. & P.M. Kort (2002a): "The Strategic Value of
Flexible Quality Choice: a Real Options Analysis"
Paper presented at the 6th Annual International
Conference on Real Options, Coral Beach, Paphos, Cyprus, July 2002, 35
pp.
Pawlina, G. & P.M. Kort (2002b): "The Strategic Capital
Budgeting: Asset Replacement under Market Uncertainty"
Paper presented at the 6th Annual International
Conference on Real Options, Coral Beach, Paphos, Cyprus, July 2002, 31
pp.
Pawlina, G. & P.M. Kort (2001): "Real Options in an Asymmetric
Duopoly: Who Benefits from Your Competitive Disadvantage?"
Working Paper, Tilburg University, June 2001, 32 pp.
Paxson, D. & Helena Pinto (2002): "Timing Advantage: Leader/
Follower Value Functions If the Market Share Follows a Birth and Death
Process"
Paper presented at the 6th Annual International
Conference on Real Options, Coral Beach, Paphos, Cyprus, July 2002, 28
pp.
Perotti, E. & S. Rossetto (2000): "Internet Portals as
Portfolio of Entry Options"
Working Paper, Tinbergen Institute, TI2000-105/2, November 2000, 42 pp.
Ritter, J.A. & J.G. Haubrich (1995): "Commitment as Investment
under Uncertainty"
Working Paper, Federal Reserve Bank of St. Louis, 1995, 37 pp.
Shackleton, M. & A. Tsekrekos & R. Wojakowski (2002): "Strategic
Entry and Market Leadership in a Two–Player Real Options Game"
Paper presented at the 6th Annual International
Conference on Real Options, Coral Beach, Paphos, Cyprus, July 2002, 33
pp.
Singh, N. (1997): "Nash Bargaining with the Option to Wait"
Economic Letters, vol.55, no 1, April 1997, pp.69-73
Smets, F.R. (1993): "Essays on Foreign Direct Investment"
Doctoral Dissertation, Yale University, 1993, 219 pp.
Smit, H.T.J. (2001): "Acquisition Strategies as Option Games"
Journal of Applied Corporate Finance, vol.14, no 2,
Summer 2001, pp.79-89
Smit, H.T.J. (1996): "Growth Options and Strategy Analysis"
Doctoral Dissertation, Dept. of Finance, Erasmus University Rotterdam,
The Netherlands, 1996, 211 pp.
Smit , H.T.J. & L.A. Ankum (1993): "A Real Options and
Game-Theoretic Approach to Corporate Investment Strategy under Competition"
Financial Management, Autumn 1993, pp.241-250
Smit, H.T.J. & L. Trigeorgis (2003): "Strategy: Options and
Games"
Princeton University Press, 2003 (Forthcoming)
Smit, H.T.J. & L. Trigeorgis (1997): "Flexibility and
Competitive R&D Strategies"
Working Paper, Erasmus University and Columbia University, 1997, 47 pp.
Smit, H.T.J. & L. Trigeorgis (1996): "Flexibility and
Commitment in Strategic Investment"
Working Paper, Erasmus University and Columbia University, 1996, 45 pp.
Sorger, G. (1996): "Markov-Perfect Nash Equilibria in a Class of
Resource Games"
CIRANO Working Paper 96s-15, April 1996, 26 pp.
Tellis, G.J. & P.N. Golder (2002): "Will and Vision – How
Latecomers Grow to Dominate Markets"
McGraw-Hill, 2002, 340 pp.
Thakor, A.V. (1991): "Game Theory in Finance"
Financial Management, Spring 1991, pp.71-94
Thijssen, J.J.J. & K.J.M. Huisman & P.M. Kort (2003): "Symmetric
Equilibria in Game Theoretic Real Option Models"
Discussion Paper, Tilburg University, February 2003, 30 pp.
Thijssen, J.J.J. & K.J.M. Huisman & P.M. Kort (2002): "Strategic
Investment under Uncertainty and Information Spillovers"
Paper presented at the 6th Annual International
Conference on Real Options, Coral Beach, Paphos, Cyprus, July 2002, 33
pp.
Thijssen, J.J.J. & E.E.C. van Damme & K.J.M. Huisman & P.M.
Kort (2001): "Investment under Vanishing Uncertainty Due to
Information Arriving over Time"
Discussion Paper, Tilburg University, February 2001, 22 pp.
Trigeorgis, L. (1992): "Valuing the Impact of Uncertain Competitive
Arrivals on Deferrable Real Investment Opportunities"
Working Paper, Columbia University, 1992, 31 pp.
Trigeorgis, L. (1991): "Anticipated Competitive Entry and Early
Preemptive Investment in Deferrable Projects"
Journal of Economics and Business, vol.43, no 2, May
1991, pp.143-156
Trigeorgis, L.G. (1986): "Valuing Real Investment Opportunities: An
Options Approach to Strategic Capital Budgeting"
Doctoral Dissertation, Harvard University, Graduate School of Business
Administration, 1986, 314 pp.
Tvedt, J. (1999): "Crude Oil Dynamics: A Leader-Follower Game
Between the OPEC Cartel and Non-OPEC Producers"
Paper presented at the 3rd Annual International Conference on
Real Options, Wassenaar, The Netherlands, 13 pp.
Vedenov, D.V. & M.J. Miranda (2001): "Numerical Solution of
Dynamic Oligopoly Games with Capital Investment"
Economic Theory, vol.18, 2001, pp.237-261
Weeds, H. (2002a): "Strategic Delay in a Real Options Model of R&D
Competition"
Review of Economic Studies, vol.69, 2002, pp.729-747. Previous version
presented at the 3rd Annual International Conference on Real
Options, 1999, Wassenaar, Netherlands, 30 pp.
Weeds, H. (2002b): "Real Options and Game Theory: When Should Real
Options Valuation Be Applied?"
Paper presented at the 6th Annual International
Conference on Real Options, Coral Beach, Paphos, Cyprus, July 2002, 17
pp.
Williams, J.T. (1995): "Pricing Real Assets with Costly Search"
Review of Financial Studies, Spring 1995, vol.8, no 1, pp.55-90
Williams, J.T. (1993): "Equilibrium and Options on Real Assets"
Review of Financial Studies, vol.6, no 4, Winter
1993, pp.825-850
Ziegler, A. (1999): "A Game Theory Analysis of Options –
Contributions to the Theory of Financial Intermediation in Continuous Time"
Springer-Verlag, 1999, 145 pp.