Optimal Dividends in the Dual Model Under Transaction Costs

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)

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Year of publication:	2014
Authors:	Bayraktar, Erhan
Other Persons:	Kyprianou, Andreas E. (contributor) ; Yamazaki, Kazutoshi (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Transaktionskosten \| Transaction costs \| Dividende \| Dividend \| Theorie \| Theory \| Finanzmathematik \| Mathematical finance