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A Note on Hedging Errors in Discretely Hedged Options and Portfolios

✍ Scribed by Yury Rojek; Paul Wilmott

Book ID
115563838
Publisher
Wiley (John Wiley & Sons)
Year
2010
Weight
154 KB
Volume
2
Category
Article
ISSN
1759-6351

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## Abstract Foreign exchange hedging ratios are simultaneously estimated alongside freight and commodity ratios in a time‐varying portfolio framework. Foreign exchange futures are by far the most important derivative instrument used to reduce uncertainty for traders. Our results lend support to the