Solving Optimal Dividend Problems via Phase-type Fitting Approximation of Scale Functions - Quantitative Finance > Computational FinanceReportar como inadecuado




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Abstract: The optimal dividend problem by De Finetti 1957 has been recentlygeneralized to the spectrally negative L\-evy model where the implementation ofoptimal strategies draws upon the computation of scale functions and theirderivatives. This paper proposes a phase-type fitting approximation of theoptimal strategy. We consider spectrally negative L\-evy processes withphase-type jumps as well as meromorphic L\-evy processes Kuznetsov et al.,2010a, and use their scale functions to approximate the scale function for ageneral spectrally negative L\-evy process. We obtain analytically theconvergence results and illustrate numerically the effectiveness of theapproximation methods using examples with the spectrally negative L\-evyprocess with i.i.d. Weibull-distributed jumps, the \beta-family and CGMYprocess.



Autor: Masahiko Egami, Kazutoshi Yamazaki

Fuente: https://arxiv.org/







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