On the existence and uniqueness of the optimal central bank intervention policy in a forex market with jumps

Sandun Perera () and Winston Buckley ()
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Sandun Perera: University of Michigan–Flint
Winston Buckley: Bentley University

Journal of the Operational Research Society, 2017, vol. 68, issue 8, 877-885

Abstract: Abstract We study a central bank intervention (CBI) problem in the foreign exchange market when the exchange rate follows a jump-diffusion process and show that the optimal CBI policy is a control-band policy. Our main contribution is a rigorous proof of the existence and uniqueness of the optimal CBI policy.

Keywords: optimal central bank (or government) intervention policy; stochastic control; dynamic programming; jump-diffusion processes (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1057/s41274-017-0208-5

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