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- Publisher Website: 10.1016/S0014-2921(02)00287-8
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Article: Currency hedging with options and futures
Title | Currency hedging with options and futures |
---|---|
Authors | |
Keywords | Currency futures Currency options Multiple sources of risk Prudence |
Issue Date | 2003 |
Publisher | Elsevier 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? |
Abstract | This 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 Identifier | http://hdl.handle.net/10722/85701 |
ISSN | 2023 Impact Factor: 2.8 2023 SCImago Journal Rankings: 2.251 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
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dc.contributor.author | Wong, KP | en_HK |
dc.date.accessioned | 2010-09-06T09:08:11Z | - |
dc.date.available | 2010-09-06T09:08:11Z | - |
dc.date.issued | 2003 | en_HK |
dc.identifier.citation | European Economic Review, 2003, v. 47 n. 5, p. 833-839 | en_HK |
dc.identifier.issn | 0014-2921 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/85701 | - |
dc.description.abstract | This 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.language | eng | en_HK |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/eer | en_HK |
dc.relation.ispartof | European Economic Review | en_HK |
dc.rights | European Economic Review. Copyright © Elsevier BV. | en_HK |
dc.subject | Currency futures | en_HK |
dc.subject | Currency options | en_HK |
dc.subject | Multiple sources of risk | en_HK |
dc.subject | Prudence | en_HK |
dc.title | Currency hedging with options and futures | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://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+Futures | en_HK |
dc.identifier.email | Wong, KP: kpwongc@hkucc.hku.hk | en_HK |
dc.identifier.authority | Wong, KP=rp01112 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/S0014-2921(02)00287-8 | en_HK |
dc.identifier.scopus | eid_2-s2.0-0141563568 | en_HK |
dc.identifier.hkuros | 92184 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0141563568&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 47 | en_HK |
dc.identifier.issue | 5 | en_HK |
dc.identifier.spage | 833 | en_HK |
dc.identifier.epage | 839 | en_HK |
dc.identifier.isi | WOS:000185873600003 | - |
dc.publisher.place | Netherlands | en_HK |
dc.identifier.scopusauthorid | Wong, KP=7404759417 | en_HK |
dc.identifier.issnl | 0014-2921 | - |