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provide also an explicit way to compute the hedging ratio (Delta) to hedge the option with its underlying. …
Persistent link: https://www.econbiz.de/10005076984
For option whose striking price equals the forward price of the underlying asset, the Black-Scholes pricing formula can be approximated in closed-form. A interesting result is that the derived equation is not only very simple in structure but also that it can be immediately inverted to obtain an...
Persistent link: https://www.econbiz.de/10005077015
position in the stock. For example, delta-hedging involves two deltas, one corresponding to the stock and the other to the …
Persistent link: https://www.econbiz.de/10005134815
This paper presents international evidence on the use of financial derivatives for a sample of 7,292 non-financial firms from 48 countries including the United States. Across all countries, 59.8% of the firms use derivatives in general, while 43.6% use currency derivatives, 32.5% interest rate...
Persistent link: https://www.econbiz.de/10005134828
Firm value is influenced in many direct and indirect ways by financial risks, which consist of unexpected changes of foreign exchange rates, interest rates and commodity prices. The fact that a significant number of corporations are committing resources to risk management activi-ties is,...
Persistent link: https://www.econbiz.de/10005134866
-varying minimum variance hedge ratios for corn and nickel spot and futures prices. Out-of-sample point estimates of hedging portfolio … variance show that compared to the state-independent BEKK-GARCH model, the RS-BEKK-GARCH model improves out-of-sample hedging …
Persistent link: https://www.econbiz.de/10005407995
composition. We provide explicit formulas within the HJM one-factor models with deterministic volatility together with hedging …
Persistent link: https://www.econbiz.de/10005413062
draw four major conclusions from the results. First, hedging effectiveness using the new crop yield contract depends … using either of the two alone. Third, hedging using price and crop yield futures has a potential to offer benefits larger …
Persistent link: https://www.econbiz.de/10005413077
hog futures price, this paper compares the hedging effectiveness of the live hog futures contract to the hedging potential … hedging instrument for Omaha cash hogs and cash loins. The strongest evidence of this is for the short-term hedging of cash … hogs. For the other three meats, no futures contract demonstrated a clear hedging advantage. …
Persistent link: https://www.econbiz.de/10005413088
study uses survey data, which enables us to differentiate between hedging aimed at translation exposure and transaction … increasing with firm size and exposure and that liquidity constraints are important in explaining transaction exposure hedging …. Importantly, we find that the existence of loan covenants explains translation exposure hedging. This suggests that firms hedge …
Persistent link: https://www.econbiz.de/10005413167