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Article: Currency hedging with options and futures

TitleCurrency hedging with options and futures
Authors
Wong, KP
KeywordsCurrency futures
Currency options
Multiple sources of risk
Prudence
Issue Date2003
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/eer
Citation
European Economic Review, 2003, v. 47 n. 5, p. 833-839 How to Cite?
DOI: http://dx.doi.org/10.1016/S0014-2921(02)00287-8
AbstractThis paper examines the optimal hedging decision of a competitive exporting firm which faces concurrently hedgeable exchange rate risk and non-hedgeable price risk. We show that the hedging role of currency options is due to two distinct sources of non-linearity: (i) the multiplicative nature of the price and exchange rate risk; and (ii) the marginal utility function of the firm. In particular, we show that a long put option position is optimal when the price risk is negatively correlated with the exchange rate risk and/or the firm is prudent. © 2002 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/85701
ISSN
0014-2921
2023 Impact Factor: 2.8
2023 SCImago Journal Rankings: 2.251
ISI Accession Number ID
WOS:000185873600003
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorWong, KPen_HK
dc.date.accessioned2010-09-06T09:08:11Z-
dc.date.available2010-09-06T09:08:11Z-
dc.date.issued2003en_HK
dc.identifier.citationEuropean Economic Review, 2003, v. 47 n. 5, p. 833-839en_HK
dc.identifier.issn0014-2921en_HK
dc.identifier.urihttp://hdl.handle.net/10722/85701-
dc.description.abstractThis paper examines the optimal hedging decision of a competitive exporting firm which faces concurrently hedgeable exchange rate risk and non-hedgeable price risk. We show that the hedging role of currency options is due to two distinct sources of non-linearity: (i) the multiplicative nature of the price and exchange rate risk; and (ii) the marginal utility function of the firm. In particular, we show that a long put option position is optimal when the price risk is negatively correlated with the exchange rate risk and/or the firm is prudent. © 2002 Elsevier B.V. All rights reserved.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/eeren_HK
dc.relation.ispartofEuropean Economic Reviewen_HK
dc.rightsEuropean Economic Review. Copyright © Elsevier BV.en_HK
dc.subjectCurrency futuresen_HK
dc.subjectCurrency optionsen_HK
dc.subjectMultiple sources of risken_HK
dc.subjectPrudenceen_HK
dc.titleCurrency hedging with options and futuresen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0014-2921&volume=47&spage=833&epage=839&date=2004&atitle=Currency+Hedging+with+Options+and+Futuresen_HK
dc.identifier.emailWong, KP: kpwongc@hkucc.hku.hken_HK
dc.identifier.authorityWong, KP=rp01112en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/S0014-2921(02)00287-8en_HK
dc.identifier.scopuseid_2-s2.0-0141563568en_HK
dc.identifier.hkuros92184en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0141563568&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume47en_HK
dc.identifier.issue5en_HK
dc.identifier.spage833en_HK
dc.identifier.epage839en_HK
dc.identifier.isiWOS:000185873600003-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridWong, KP=7404759417en_HK
dc.identifier.issnl0014-2921-

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