The first discrete model of option game had been developed by Smit and Ankum (1993), and Smit and Trigeorgis (1997, 2003) have developed the discrete model approach on R&D project. As to continuous model of option game on R&D investment project, Huisman and Kort (1999) have developed the standard option game model under symmetric duopoly. According to project evaluation, the equilibrium strategy set of the above model could be thought as project value analysis under the circumstances of uncertain strategy interaction. So this paper presents the option game approach on R&D investment evaluation.
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