We analyze the regularity of the optimal exercise boundary for the American Put option when the underlying asset pays a discrete dividend at a known time td during the lifetime of the option. The ex-dividend asset price process is assumed to follow Black-Scholes dynamics and the dividend amount is a deterministic function of the ex-dividend asset price just before the dividend date. The solutio...

We consider a model of a nancial corporation which has to nd an optimal policy balancing its risk and expected proots. The example treated in this paper is related to an insurance company with the risk control method known in the industry as excess-of-loss reinsurance. Under this scheme the insurance company divert part of its premium stream to another company in exchange of an obligation to pi...

In this note we study the optimal dividend problem for a company whose surplus process, in the absence of dividend payments, evolves as a generalized compound Poisson model in which the counting process is a generalized Poisson process. This model includes the classical risk model and the Pólya-Aeppli risk model as special cases. The objective is to find a dividend policy so as to maximize the ...

A financial portfolio typically pays dividend based on its value. We show that there is a unique portfolio that pays the maximum dividend rate while remaining solvent, under appropriate assumptions. We also give a characterization of both the portfolio and the optimal dividend rate. © 2015 Elsevier Inc. All rights reserved.

This work focuses on numerical methods for finding optimal investment, dividend payment, and capital injection policies to maximize the present value of the difference between the cumulative dividend payment and the possible capital injections. The surplus is modeled by a regime-switching jump diffusion process subject to both regular and singular controls. Using dynamic programming principle, ...

This paper investigates the optimal management of a firm faced with a long-term liability that occurs at a random date. Three issues are analysed: the optimal dividend policy; optimal expenditure on safety to delay the occurrence of the liability; and the optimal liquidation date of the firm. An owner faced with dynamic unlimited liability never liquidates and therefore accumulates capital to t...

This paper concerns with the problem of determining an optimal control on the dividend and investment policy of a firm. We allow the company to make an investment by increasing its outstanding indebtedness, which would impact its capital structure and risk profile, thus resulting in higher interest rate debts. We formulate this problem as a mixed singular and switching control problem and use a...

We consider a class of stochastic impulse control problems of linear diffusions arising in studies considering the determination of optimal dividend policies and in studies analyzing the optimal management of renewable resources. We derive a set of weak conditions guaranteeing both the existence and uniqueness of the optimal policy and its value by relying on a combination of the classical theo...

We consider an infinite-horizon general equilibrium model with heterogeneous agents and financial market imperfections. We investigate the role of dividend taxation on economic growth and asset price. The optimal dividend taxation is also studied.