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Ko, C.-C., Lin, T.T. and Yang, C. (2011) The Venture Capital Entry Model on Game Options with Jump-Diffusion Process. International Journal of Production Economics, 134, 87-94.
http://dx.doi.org/10.1016/j.ijpe.2011.02.016

has been cited by the following article:

• TITLE: Duopolistic Competition and Capacity Choice with Jump-Diffusion Process

  AUTHORS: Danmei Chen

  KEYWORDS: Investment Decisions, Competitive, Real Option Game, Jump-Diffusion Process

  JOURNAL NAME: Journal of Mathematical Finance, Vol.5 No.2, May 22, 2015

  ABSTRACT: This paper studies the effects of sudden events on the optimal timing and capacity choice in a duopoly market. According to the characteristics of economic environment, we assume that the product demand follows geometric Brownian motion with a Poisson jump process. Under the settings, the firms face the risk of a sudden drop in demand which is caused by sudden events. We develop the real option game model to derive the investment equilibrium strategies. Moreover, the effects of sudden events on investment decisions are obtained by numerical analysis.