How firms should hedge: An extension
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Olaf Korn
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Article
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2009
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John Wiley and Sons
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English
β 109 KB
## Abstract This note studies a firm's optimal hedging strategy with tailorβmade exotic derivatives under both price risk and quantity risk. It extends the analysis of Brown G. W. and Toft K.βB. (2002) by relaxing the assumption of a bivariate normal distribution. The optimal payoff function of a d