Ferrari, Giorgio; Vargiolu, Tiziano: On the Singular Control of Exchange Rates. In: . Jg.594. 2017, S. 36 ff.
Inhalt
- 1. Introduction
- 2. Setting and Problem formulation
- 3. Solving the Problem
- 3.1. A Preliminary Verification Theorem
- 3.2. Constructing a Candidate Solution
- 3.3. The Value Function and the Optimal Control
- 3.4. A Link with an Optimal Stopping Game
- 4. A Case Study with a Mean-Reverting (Log-)Exchange Rate
- 4.1. Comparative Statics Results
- 4.2. Expected Exit Time from the Target Zone
- 4.3. Numerical results
- 5. Concluding Remarks
- Acknowledgments
- Appendix A.
- References