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On the existence and uniqueness of the optimal central bank intervention policy in a forex market with jumps.
Sandun Perera
Winston S. Buckley
Published in:
J. Oper. Res. Soc. (2017)
Keyphrases
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asymptotically optimal
foreign exchange
optimal pricing
dynamic programming
risk neutral
markov chain
control policy
expected cost
finite horizon
control policies
allocation policy
worst case
customer demand
stationary policies
pricing strategies
budget constraints