Hedging export revenue risk using futures and options

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 : Universität Konstanz, Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft

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Series:	Diskussionsbeiträge - Serie II ; 143
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	733236324 [GVK] hdl:10419/101465 [Handle] RePEc:zbw:kondp2:143 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010397890