Library Header Image
LSE Research Online LSE Library Services

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.

Download (280Kb) | Preview


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:
Additional Information: © 2011 The Authors
Library of Congress subject classification: H Social Sciences > HA Statistics
Sets: Departments > Statistics
Date Deposited: 02 Feb 2011 14:56

Actions (login required)

Record administration - authorised staff only Record administration - authorised staff only


Downloads per month over past year

View more statistics