most citedThe QLBS Model within the presence of feedback loops through the impacts of a large trader

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q-fin.MF2023★ 1 cited

The QLBS Model within the presence of feedback loops through the impacts of a large trader

Ahmet Umur Özsoy, Ömür Uğur

We extend the QLBS model by reformulating via considering a large trader whose transactions leave a permanent impact on the evolution of the exchange rate process and therefore aff…