Title: Hedging export revenue risk using futures and options
Abstract: 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.
Publication Year: 1991
Publication Date: 1991-01-01
Language: en
Type: preprint
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