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.
Institutions:	Fachbereich Wirtschaftswissenschaften, Universität Konstanz

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Extent:	application/pdf
Series:	Discussion Papers, Series II.
Type of publication:	Book / Working Paper
Notes:	Number 143
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010958432