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Barrier strategies with Parisian delay

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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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en

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application/pdf

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http://eprints.lse.ac.uk/32024/1/Barrier_Strategies_with_Parisian_Delay_%28LSERO%29.pdf

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