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Barrier strategies with Parisian delay

Dassios, Angelos and Wu, Shanle (2011) Barrier strategies with Parisian delay. Department of Statistics, London School of Economics and Political Science , London, UK.

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Abstract

In this paper, we apply the single barrier strategy to optimize the dividend payment in the situation where there is a time lag d > 0 between decision and implementation. Using a Brownian motion with drift as the surplus process, we obtain the optimal barrier b* which maximises the expected present value of dividends. We also show that the longer the implementation delay, the smaller the optimal barrier will be.

Item Type: Monograph (Working Paper)
Official URL: http://www2.lse.ac.uk/statistics/home.aspx
Additional Information: © 2011 The Authors
Library of Congress subject classification: H Social Sciences > HA Statistics
Sets: Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 02 Feb 2011 14:56
URL: http://eprints.lse.ac.uk/32024/

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