اشترك بالحزمة الذهبية واحصل على وصول غير محدود شمرا أكاديميا
تسجيل مستخدم جديدOptimal dividends in the dual model under transaction costs
187
0
0.0
(
0
)
اسأل ChatGPT حول البحث
ﻻ يوجد ملخص باللغة العربية
We analyze the optimal dividend payment problem in the dual model under constant transaction costs. We show, for a general spectrally positive L{e}vy process, an optimal strategy is given by a $(c_1,c_2)$-policy that brings the surplus process down to $c_1$ whenever it reaches or exceeds $c_2$ for some $0 leq c_1 < c_2$. 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).
قيم البحث
اقرأ أيضاً
We revisit the dividend payment problem in the dual model of Avanzi et al. ([2], [1], and [3]). Using the fluctuation theory of spectrally positive L{e}vy processes, we give a short exposition in which we show the optimality of barrier strategies for
all such L{e}vy processes. Moreover, we characterize the optimal barrier using the functional inverse of a scale function. We also consider the capital injection problem of [3] and show that its value function has a very similar form to the one in which the horizon is the time of ruin.
We consider a dual risk model with constant expense rate and i.i.d. exponentially distributed gains $C_i$ ($i=1,2,dots$) that arrive according to a renewal process with general interarrival times. We add to this classical dual risk model the proporti
onal gain feature, that is, if the surplus process just before the $i$th arrival is at level $u$, then for $a>0$ the capital jumps up to the level $(1+a)u+C_i$. The ruin probability and the distribution of the time to ruin are determined. We furthermore identify the value of discounted cumulative dividend payments, for the case of a Poisson arrival process of proportional gains. In the dividend calculations, we also consider a random perturbation of our basic risk process modeled by an independent Brownian motion with drift.
We consider a discrete time financial market with proportional transaction cost under model uncertainty, and study a super-replication problem. We recover the duality results that are well known in the classical dominated context. Our key argument co
nsists in using a randomization technique together with the minimax theorem to convert the initial problem to a frictionless problem set on an enlarged space. This allows us to appeal to the techniques and results of Bouchard and Nutz (2015) to obtain the duality result.
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the presence of transaction costs of a fund/agent inve
sting in futures markets. We offer some preliminary remarks about statistical arbitrage strategies and we set the framework for futures markets, and introduce concepts such as margin, gearing and slippage. The setting is of discrete time, and the price evolution of the futures prices is modelled as discrete random sequence involving Itos sums. We assume the drift and the Brownian motion driving the return process are non-observable and the transaction costs are represented by the bid-ask spread. We provide explicit solution to the optimal portfolio process, and we offer an example using logarithmic utility.
We consider conditional-mean hedging in a fractional Black-Scholes pricing model in the presence of proportional transaction costs. We develop an explicit formula for the conditional-mean hedging portfolio in terms of the recently discovered explicit
conditional law of the fractional Brownian motion.
سجل دخول لتتمكن من نشر تعليقات
التعليقات
جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
