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A comment on “A hedging deficiency in eurodollar futures”

✍ Scribed by Ira G. Kawaller

Publisher
John Wiley and Sons
Year
2006
Tongue
English
Weight
87 KB
Volume
27
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

Professor Chance's analysis shows that hedge results from eurodollar futures are imperfect; and he credits the futures contract design as being the source of the error. This comment argues that the unanticipated outcomes that Professor Chance evidences stem not from the design of the contract, but rather from improperly sizing hedge transactions. If appropriately sized hedges are used, perfect hedge outcomes in fact, will follow. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:187–193, 2007

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