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Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps.
Sandun Perera
Winston S. Buckley
Hongwei Long
Published in:
Ann. Oper. Res. (2018)
Keyphrases
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foreign exchange
optimal pricing
decision making
stock price
risk neutral
asymptotically optimal
optimal solution
profit maximizing
dynamic programming
markov chain
short term
stock market
electricity markets
financial markets
dynamic pricing
budget constraints