Hedging export revenue risk using futures and options

Udo Broll; Jack E. Wahl

This paper presents a model of a competitive risk-averse exporting firm under exchange rate risk. We show that export and hedging decisions can be separated if futures and currency options are available. A full hedge of uncertain export revenue occurs if the futures market is unbiased and the currency option premium is fair. Furthermore, institutional aspects of introducing hedging markets are presented.

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Year of publication:	1991
Authors:	Broll, Udo ; Wahl, Jack E.
Publisher:	Konstanz
Subject:	Hedging \| Derivat \| Derivative

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Extent:	18 S.
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/101465 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009675767