Optimal Dividend Policy when Cash Reserves Follow a Jump-Diffusion Process Under Markov-Regime Switc...
Optimal Dividend Policy when Cash Reserves Follow a Jump-Diffusion Process Under Markov-Regime Switching
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English
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In this paper we study the optimal dividend payments for a company of limited liability whose cash reserves in the absence of dividends follow a Markov-modulated jump-diffusion process with positive drifts and negative exponential jumps, where parameters and discount rates are modulated by a finite-state irreducible Markov chain. The main aim is to...
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Optimal Dividend Policy when Cash Reserves Follow a Jump-Diffusion Process Under Markov-Regime Switching
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TN_cdi_crossref_primary_10_1017_S0021900200012298
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_primary_10_1017_S0021900200012298
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0021-9002
E-ISSN
1475-6072
DOI
10.1017/S0021900200012298
