期刊论文

Yu, Xing（余星）

英文

Journal of Computational and Applied Mathematics

0377-0427

2020

366

112412

10.1016/j.cam.2019.112412

Raising initial capital for High-level Talents of Central China Normal University [30101190001]; Fundamental Research Funds for the Central Universities, ChinaFundamental Research Funds for the Central Universities [CCNU19A06043, CCNU19TD006, CCNU 19TS062]; Humanities and Social Science Fund from Ministry of Education, China [16YJAZH078]

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In this paper, we consider the optimal cross-hedging and risk control problem of a competitive firm facing exchange risk exposure in a multi-period setting. We present the optimal positions of currency futures and options to maximize the exponential utility of the terminal wealth by dynamic programming approach. To evaluate the potential effectiveness of cross-hedging with currency futures and options, we compare terminal wealth, utility based on terminal wealth and variance of the wealth accumulation path in three cases: hedging with futures and options, net futures hedging and no hedging. An...