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Linear programming in the foreign exchange markets
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The dynamics and market price of capital, and the solution of foreign asset holding of the firm are discussed.
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Foreign currency option pricing with proportional transaction costs
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The purpose of present work is to examine the financial problem of finding the universal reservation prices of a European call option written on exchange rate when there is proportional transaction costs of trading foreign currency in the market.
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An approach is suggested to compute the reservation bid-ask price of foreign currency call option based on maximizing the investor's expected utility.
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