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