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Dynamic Currency Futures and Options Hedging Model

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成果类型:
期刊论文
作者:
Yu, Xing*余星);Li, Yanyin;Wan, Zhongkai
通讯作者:
Yu, Xing(余星
作者机构:
[Yu, Xing; Wan, Zhongkai; Li, Yanyin] Cent China Normal Univ, Sch Econ & Business Adm, Wuhan 430079, Hubei, Peoples R China.
通讯机构:
[Yu, Xing] C
Cent China Normal Univ, Sch Econ & Business Adm, Wuhan 430079, Hubei, Peoples R China.
语种:
英文
期刊:
Mathematical Problems in Engineering
ISSN:
1024-123X
年:
2019
卷:
2019
页码:
1-11
基金类别:
raising initial capital for High-Level Talents of Central China Normal University [30101190001]; Fundamental Research Funds for the Central UniversitiesFundamental Research Funds for the Central Universities [CCNU19A06043, CCNU19TD006, CCNU 19TS062]; Humanities and Social Science Planning Fund from Ministry of Education [16YJAZH078]
机构署名:
本校为第一且通讯机构
院系归属:
经济与工商管理学院
摘要:
In this paper, we consider a risk averse competitive firm that adopts currency futures and options for hedging purpose. Based on the assumption of unbiased markets of currency futures and options, we propose the optimal hedging model in dynamic setting. By using two-stage optimization method, we prove that it is desirable for the prudent enterprise to buy exchange rate options to hedge currency risk. Furthermore, we derive the closed-form solutions of the multiperiod hedging problem with the quadratic utility function. We investigate an empiric...

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