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Hedging time-varying downside risk

✍ Scribed by Lien, Donald; Tse, Yiu Kuen

Publisher
John Wiley and Sons
Year
1998
Tongue
English
Weight
229 KB
Volume
18
Category
Article
ISSN
0270-7314

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✦ Synopsis

We would like to compare futures with options, unfortunately we do not have an option contract that matches the time period of our study. SIMEX has an option on the Nikkei 225 with a much shorter history. Moreover, even if such a contract exists, it would be very thin (as we have experienced in comparing currency futures with currency options), and a continuous time series would not be available for the study of time-varying hedging. In addition, the choice of a nearby option would be problematic for options.

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