Optimality of Hybrid Continuous and Periodic Barrier Strategies in the Dual Model

Applied Mathematics and Optimization (2018). DOI:10.1007/s00245-018-9494-9

26 Pages Posted: 5 Jun 2019

See all articles by José-Luis Pérez

José-Luis Pérez

Centro de Investigacion en Matematicas (CIMAT) - Department of Probability and Statistics

Kazutoshi Yamazaki

Kansai University - Department of Mathematics

Date Written: January 14, 2018

Abstract

Avanzi et al. (2016) recently studied an optimal dividend problem where dividends are paid both periodically and continuously with different transaction costs. In the Brownian model with Poissonian periodic dividend payment opportunities, they showed that the optimal strategy is either of the pure-continuous, pure-periodic, or hybrid-barrier type. In this paper, we generalize the results of their previous study to the dual (spectrally positive Levy) model. The optimal strategy is again of the hybrid-barrier type and can be concisely expressed using the scale function. These results are confirmed through a sequence of numerical experiments.

Keywords: dividends, Levy processes, periodic strategies, scale functions, dual model

JEL Classification: C44, C61, G24, G32, G35

Suggested Citation

Pérez, José-Luis and Yamazaki, Kazutoshi, Optimality of Hybrid Continuous and Periodic Barrier Strategies in the Dual Model (January 14, 2018). Applied Mathematics and Optimization (2018). DOI:10.1007/s00245-018-9494-9. Available at SSRN: https://ssrn.com/abstract=3389825 or http://dx.doi.org/10.2139/ssrn.3389825

José-Luis Pérez

Centro de Investigacion en Matematicas (CIMAT) - Department of Probability and Statistics ( email )

Guanajuato
Mexico

Kazutoshi Yamazaki (Contact Author)

Kansai University - Department of Mathematics ( email )

3-3-35 Yamate-cho, Suita-shi
Osaka, 564-8680
Japan

HOME PAGE: http://https://sites.google.com/site/kyamazak/

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