Fig. 10
From: Foreign exchange trading and management with the stochastic dual dynamic programming method
Sample of the RN solution described in "Setting 2: Speculative trading" section. FX price follows the dynamics in (15). The figure shows the results from 4 exchanges: USDCLP, USDTRY, GBPUSD and USDJPY. Scenarios in grey follow the Vasicek model during the entire day. Scenarios in green and red have a shock during the day, which changes the dynamics to a GBM model with negative(green) or positive(red) drift