Currency hedging with options and futures
β Scribed by Kit Pong Wong
- Book ID
- 117098059
- Publisher
- Elsevier Science
- Year
- 2003
- Tongue
- English
- Weight
- 195 KB
- Volume
- 47
- Category
- Article
- ISSN
- 0014-2921
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract This article investigates the effects of the spotβfutures spread on the return and risk structure in currency markets. With the use of a bivariate dynamic conditional correlation GARCH framework, evidence is found of asymmetric effects of positive and negative spreads on the return and
## Abstract The optimal hedging portfolio is shown to include both futures and options under a variety of circumstances when the marginal cost of hedging is nonzero. Futures and options are treated as substitute goods, and the properties of the resulting hedging demand system are explained. The ove