Barrier strategies with Parisian delay
Dassios, A.
& Wu, S.
(2011).
Barrier strategies with Parisian delay.
Department of Statistics, London School of Economics and Political Science.
& Wu, S.
(2011).
Barrier strategies with Parisian delay.
Department of Statistics, London School of Economics and Political Science.
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.