Barrier strategies with Parisian delay

Angelos Dassios and Shanle Wu

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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.

Keywords: Parisian implementation delay; single barrier strategy; surplus process; Brownian motion with drift (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:32024

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