Optimal dividends in the dual model under transaction costs

By Erhan Bayraktar, Andreas E. Kyprianou, Kazutoshi Yamazaki. 2013

62 citations recorded by the source corpus.

We analyze the optimal dividend payment problem in the dual model under constant transaction costs. We show, for a general spectrally positive Levy process, an optimal strategy is given by a (c1,c2)-policy that brings the surplus process down to c1 whenever it reaches or exceeds c2 for some 0≤c1<c2. The value function is succinctly expressed in terms of the scale function. A series of numerical examples are provided to confirm the analytical results and to demonstrate the convergence to the no-transaction cost case, which was recently solved by Bayraktar et al. (2013).

Subfields: Finance, Management Information Systems, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/baec24cd0e6e03b2f610727986be15cb0750371c

How researchers see this paper

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In Finance

1. Kam Chuen Yuen
2. Chuancun Yin
3. Ping Chen
4. Hailiang Yang
5. Yongxia Zhao
6. Andreas E. Kyprianou
7. Xiaowen Zhou

In Management Information Systems

1. Kam Chuen Yuen
2. Chuancun Yin
3. Hailiang Yang

In Management Science and Operations Research

1. Kam Chuen Yuen
2. Chuancun Yin
3. Ping Chen
4. Hailiang Yang
5. Yongxia Zhao
6. Zhibin Liang
7. Jun Cai
8. Yan Zeng

Citations in the corpus

• Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs (2014, background): “[12] extended the study to the case with fixed transaction costs.”
• Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes (2017, background): “Fixed costs on dividend were studied in Bayraktar et al. (2014).”