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The dual risk model is a popular model in finance and insurance, which is mainly used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for the dual risk model. It is well known that the value function of this...
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problem. For this, we develop a new discrete dividend model that allows for the possibility of early announcement and ensures … that the drop of the stock price at the ex-dividend date equals the dividend. The resulting portfolio problem can be solved …
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