Two effects explain low-vol anomaly: dividend-yield correlation and ex-dividend returns.
problem Explaining the low-volatility anomaly in stock markets.
method Analyzing historical data to identify and quantify two independent effects.
result The low-volatility anomaly is explained by two effects: dividend-yield correlation and ex-dividend returns.
Proposes a new model for stock and dividend derivatives pricing.
problem Pricing stock and dividend derivatives with positive stock prices and non-negative dividends.
method Jointly specifies dynamics for stock price and dividend rate, using mean-reverting dividend rate.
result Closed-form expressions for stock and dividend futures prices, accurate option approximations.
The paper adjusts stock and strike prices for dividends after maturity in stock call pricing.
problem Inconsistent pricing of European calls with dividends after maturity.
method Extension of the Black-Scholes formula to include dividends after maturity.
result Model-consistent pricing of calls over all maturities with dividends after maturity.
A model for pricing dividends and interest rates.
problem Modeling the term structures of dividends and interest rates.
method Polynomial jump-diffusions and moment-based approximation for option pricing.
result A parsimonious model fits interest rate swaps, swaptions, and dividend futures and options.
Optimal financing and dividends in fluctuating surplus with regime switching.
problem Maximizing discounted dividends in a fluctuating surplus model with environmental regime.
method Proving optimal capital injection and dividend payout strategies based on surplus and environmental regime.
result It is optimal to inject capitals only when surplus is low and to pay out dividends maximally when surplus is high.
Generalized model for firm valuation considering semi-Markovian dividend growth.
problem Valuation of firms based on semi-Markovian dividend growth rates.
method Discrete time semi-Markov chain model with measurable space, new equations for price-dividend ratios, approximation methods.
result Established sufficient conditions for finiteness of fundamental prices and risks, new equations for first and second order price-dividend ratios.
New approach to optimal dividend control with mean-variance criterion.
problem Balancing expected dividends and variability in a singular control framework.
method Game-theoretic approach to find time-consistent equilibrium strategies.
result Verification theorem for MV singular dividend control problem.
Optimal dividend strategy with irreversible reinsurance constraints.
problem Maximizing dividends while adhering to ratcheting and irreversible reinsurance constraints.
method Modeling dividend and reinsurance levels as nondecreasing processes, solving Hamilton-Jacobi-Bellman equation.
result Threshold strategy is optimal for maximizing discounted dividends until ruin.
Optimal dividend strategies are found for companies with both continuous and lump sum payouts.
problem Determining the best dividend strategy for companies with both continuous and lump sum payouts.
method Using scale functions, explicit formulas for the expected present value of dividends until ruin are derived.
result A two-layer (a,b) strategy is shown to be optimal, paying continuous dividends above level a and lump sum payments above level b.
In this paper we study the optimal dividend problem for a company whose surplus process evolves as a spectrally positive Levy process. This model including the dual model of the classical risk model and the dual model with diffusion as special cases. We assume that dividends are paid to the shareholders according to ad…
Optimal control problem for firm cash flow with dividend and capital injection strategies.
problem Maximizing dividends while managing capital injections in a firm's cash flow.
method Proved two optimal strategies: mean-reverting dividends with capital injections or no injections until ruin.
result Optimal strategies are dichotomous: either mean-reverting dividends with injections or no injections.
Study optimal periodic dividend strategies for risky businesses with transaction costs.
problem Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs.
method Investigates periodic (bu,bl) strategies for a Poisson arrival process of decision times. result A periodic (bu,bl) strategy is optimal with lump sum dividends net of transaction costs. Optimizes dividends with stability for risky businesses.
problem Maximizing dividends with stability in risky businesses.
method Linear-quadratic optimization for a general Lévy process.
result Derives optimal affine dividend strategies with stability.
Optimal strategy for insurance company dividends and capital injection with restrictions.
problem Managing dividends and capital injection under a surplus process restriction.
method Singular stochastic control problem with optimal strategies identified.
result Optimal strategies change based on capital injection costs and dividend payout barriers.
In this paper we consider the optimal dividend problem for an insurance company whose risk process evolves as a spectrally negative Lévy process in the absence of dividend payments. The classical dividend problem for an insurance company consists in finding a dividend payment policy that maximizes the total expected di…
This paper uses basket option formulas to price vanilla options with discrete dividends.
problem Pricing vanilla options on stocks with discrete cash dividends.
method Uses existing basket option formulas for European options on a single asset with cash dividends in the piecewise lognormal model.
result Explains the use of basket option formulas for a specific problem in the piecewise lognormal model.
This paper solves an optimal dividend payout problem with ratcheting constraints using a novel method.
problem Optimal dividend payout under ratcheting constraints for a Brownian motion surplus process.
method Novel partial differential equation method to solve the Hamilton-Jacobi-Bellman (HJB) equation.
result Existence and uniqueness of solution in stronger functional spaces, strict monotonicity, boundedness, and C∞-smoothness of the free boundary. Paper presents new expansions for option pricing with cash dividends.
problem No exact formula for European options with cash dividends.
method Uses Etore and Gobet's technique for piecewise lognormal process with jumps.
result Provides more robust first, second, and third-order expansions.
Study finds dividend payout policy positively impacts firm profitability.
problem Determining the optimal dividend payout ratio and its effect on financial performance.
method Panel data analysis of 60 Indian listed firms over 10 years, using ROA as a proxy for profitability.
result Positive and significant relationship between dividend payout policy and firm performance.
Optimal dividend strategy for insurance company in foreign currency.
problem Maximizing dividends paid in a foreign currency until ruin.
method Spectrally negative Lévy process, exponentially Lévy exchange rate, Hamilton--Jacobi--Bellman equation.
result Single dividend barrier strategy is optimal.
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 including the classical risk model and the Polya-Aeppli risk model as sp…
Extends Yagil's model to include stochastic dividends in stock-for-stock mergers.
problem Determining exchange ratios in stock-for-stock mergers with uncertain dividend growth.
method Generalizes Yagil's deterministic model to a stochastic environment, considering both expected values and variance of dividends.
result Identifies a more complex bargaining region for exchange ratios, influenced by the mean and standard deviation of dividends' growth rate.
Study optimizes dividend strategies for risk processes with Lévy jumps.
problem Optimizing dividend payments in risk processes with Lévy jumps.
method Analyzes spectrally positive and negative Lévy processes, using scale functions.
result Periodic barrier strategy is optimal for spectrally negative Lévy processes with completely monotone Lévy density.
Optimizing dividend payouts in a foreign currency for insurance companies.
problem Maximizing expected discounted dividends in a foreign currency context.
method Modelled as a Brownian motion with drift and Lévy process for currency fluctuation, explicit calculations for value function and strategy.
result Explicit calculation of value function and optimal strategy for dividend payouts.
Optimal dividend strategy with constraints on drawdown and ratcheting rates.
problem Maximizing discounted utility of dividends until bankruptcy with drawdown and ratcheting constraints.
method Formulated as a stochastic control problem, solved via Hamilton-Jacobi-Bellman variational inequality.
result Optimal dividend rate ct∗ depends on current surplus and historical maximum of dividend rate, with specific rules for different surplus levels. The paper analyzes optimal dividend strategies for risky businesses, considering both periodic and extraordinary payments.
problem Maximizing dividends paid until ruin, net of transaction costs.
method Modeling cash surplus as Brownian motion, considering different types of dividends with transaction costs.
result Optimal strategies depend on business profitability and transaction costs, sometimes including liquidation.
Optimal dividend strategy for insurance with premium dependent on surplus.
problem Maximizing dividends until ruin with penalty for shortfall.
method Stochastic control problem, Hamilton-Jacobi-Bellman equation, Gerber-Shiu functions.
result Single dividend-band strategy identified as optimal under certain conditions.
Paper shows equivalence between two dividend preference models.
problem Understanding investor and firm preferences for dividends.
method Formulated Epstein-Zin preference, proved equivalence with Maenhout's model.
result Robust dividend policy is equivalent to a threshold strategy based on surplus process.
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 fu…
Optimizes dividend payments to balance risk and reward.
problem Maximizing mean-variance of accumulated discounted dividends up to ruin.
method Develops a time-consistent equilibrium strategy using a verification lemma.
result Equilibrium strategy is a barrier strategy for low risk aversion.
Optimizes dividend payouts with fixed costs and regime switching.
problem Maximizing dividends with fixed transaction costs and regime switching.
method Identifies optimal dividend strategy as a two-barrier impulsive strategy.
result Explicit determination of optimal strategy for various drift and volatility scenarios.
Optimal dividends for a two-branch insurance company modelled by stochastic processes.
problem Maximizing dividends for an insurance company with two branches under ruin constraints.
method Solving a stochastic control problem using Hamilton-Jacobi-Bellman equations.
result The optimal strategy and value function are found.
In this paper, we consider the optimal dividend problem for a company. We describe the surplus process of the company by a diffusion model with regime switching. The aim of the company is to choose a dividend policy to maximize the expected total discounted payments until ruin. In this article, we consider a hybrid div…
Two insurance companies collaborate to maximize dividend payouts until ruin.
problem Maximizing dividends for two collaborating insurance companies with compound Poisson surplus processes.
method Solving a stochastic control problem using viscosity solutions and numerical approximation.
result Curve strategies identified as optimal, outperforming stand-alone companies.
Optimal dividend strategy in insurance with limited rate decrease.
problem Maximizing expected discounted dividends up to ruin in a risk model.
method Two-dimensional optimal control problem solved using Hamilton-Jacobi-Bellman equation.
result Value function is unique viscosity solution and can be approximated by ratcheting strategies.
Optimal dividend payout strategy found for Brownian risk model with ratcheting constraint.
problem Optimal dividend payout from a surplus process governed by Brownian motion with drift under ratcheting constraint.
method Solved a two-dimensional optimal control problem using viscosity solutions of Hamilton-Jacobi-Bellman equations.
result Threshold and curve strategies identified as optimal for different dividend rate sets.
Optimal dividend strategy with capital injections over a finite time horizon.
problem Maximizing profits from dividends and minimizing costs of capital injections.
method Relating the problem to an optimal stopping problem for a drifted Brownian motion absorbed at the origin.
result The optimal dividend strategy is triggered by a moving boundary derived from the stopping problem.
Study optimal strategies for insurer's dividends, investments, and liabilities.
problem Maximize insurer's utility of dividend payments over an infinite horizon.
method Perturbation approach to obtain optimal strategy and value function in closed form.
result Obtained optimal strategy and value function for log and power utility.
New approach to optimal dividend timing with limited payouts.
problem Optimal timing of dividends with a constraint on the number of payouts.
method Developed a new type of time-inconsistent stochastic impulse control problem, derived the optimal solution in the precommitment sense, and formulated it as a sequential dynamic game.
result An equilibrium strategy derived for the problem, showing strong subgame perfect Nash equilibrium.
Study finds dividend policy has no significant effect on IPO stock prices.
problem Impact of dividend policy on IPO price performance.
method Long-run performance statistics and GARCH model, dummy variable used.
result Dividend policy has no significant effect on IPO stock prices.
Study optimal dividend strategy with capital injection for Lévy processes.
problem Optimal dividend strategy with capital injection under specific constraints.
method Used fluctuation identities of refracted-reflected Lévy process to derive explicit solution.
result Explicit optimal strategy and value function expressed in terms of scale function.
Study optimizes dividend payout and funding timing in risky financial scenarios.
problem Maximizing dividends while accounting for random funding opportunities.
method Modified risk process with jump times of a Poisson process for funding.
result Explicit solution for exponential claims, optimal strategy depends on transaction costs.
Paper analyzes how present-bias affects carbon emissions and proposes a method to mitigate it.
problem Present-bias impacts carbon emission patterns towards a net zero target.
method Stochastic control techniques adapted from insurance risk theory.
result Higher present-bias leads to excess emissions, and carbon taxes can reduce emissions but beyond a certain point have diminishing returns.
We consider the problem of maximizing the discounted utility of dividend payments of an insurance company whose reserves are modeled as a classical Cramér-Lundberg risk process. We investigate this optimization problem under the constraint that dividend rate is bounded. We prove that the value function fulfills the Ham…
Efficiently calculates Brazilian stock options with discrete dividends.
problem Accurately pricing Brazilian listed equity options with discrete dividends.
method Uses the fast Laplace transform for high-accuracy computation.
result Efficiently computes option premiums and Greeks with high accuracy.
This paper optimizes periodic dividend strategies for Lévy processes with transaction costs.
problem Maximizing dividends for spectrally negative Lévy processes with fixed transaction costs.
method Using periodic strategies and fixed transaction costs, the paper calculates the value function and shows optimality conditions.
result A sufficient condition for optimality is that the Lévy measure is completely monotonic.
Study optimal dividends in dual risk model with stochastic interest rate.
problem Optimal dividend strategy in dual risk model with stochastic interest rate.
method Geometric Brownian motion or exponential Lévy process for discounting factor.
result Closed form solutions can be obtained for optimal dividends.
Improved stock market valuation using modified dividend-price ratio.
problem Stationary assumption failure in classical dividend-price ratio.
method Multivariate regressions, dynamic econometric procedure, modified dividend-price ratio (mdp).
result Enhanced forecasting results over classical dividend-price ratio.