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Long run forward rates and long yields of bonds and options in heterogeneous equilibria.

Semyon Malamud
Published in: Finance Stochastics (2008)
Keyphrases
  • long run
  • short run
  • expected cost
  • optimal policy
  • infinite horizon
  • queueing networks
  • average cost
  • heavy traffic
  • exchange rate
  • average reward
  • control policy
  • long term