×

zbMATH — the first resource for mathematics

Optimal hedging with currency forwards, calls, and calls on forwards for the competitive exporting firm facing exchange rate uncertainty. (English) Zbl 0800.90141
MSC:
91B60 Trade models
PDF BibTeX XML Cite
Full Text: DOI
References:
[1] Adam-Müller, A. F. A. (1993): ?Optimal Currency Hedging, Export, and Production in the Presence of Idiosyncratic Risk?.Swiss Journal of Economics and Statistics 129: 197-208.
[2] Adler, M., and Dumas, B. (1983): ?International Portfolio Choice and Corporate Finance: A Synthesis?.Journal of Finance 38: 925-984. · doi:10.2307/2328091
[3] Benninga, S., Eldor, R., and Zilcha, I. (1985): ?Optimal Hedging in Commodity and Currency Forward Markets?.Journal of International Money and Finance 4: 537-552. · doi:10.1016/0261-5606(85)90028-2
[4] Black, F., and Scholes, M. (1973): ?The Pricing of Options and Corporate Liabilities?.Journal of Political Economy 81: 637-654. · Zbl 1092.91524 · doi:10.1086/260062
[5] Branson, W. H., and Henderson, D. W. (1985): ?The Specification and Influence of Asset Markets?. InHandbook of International Economics, vol. 2, edited by R. W. Jones and P. B. Kenen. New York: Elsevier.
[6] Breeden, D. T., and Litzenberger, R. H. (1978): ?Prices of State Contingent Claims Implicit in Option Prices?.Journal of Business 51: 621-651. · doi:10.1086/296025
[7] Briys, E., Crouhy, M., and Schlesinger, H. (1993): ?Optimal Hedging in Futures Market with Background Noise and Basis Risk?.European Economic Review 37: 949-960. · doi:10.1016/0014-2921(93)90103-H
[8] Brock, W. A., and Malliaris, A. G. (1982):Stochastic Methods in Economics and Finance. New York: Elsevier. · Zbl 0693.90001
[9] Broll, U., and Wahl, J. (1992a): ?Exports Under Exchange Rate Uncertainty and Hedging Markets?.Journal of Institutional and Theoretical Economics 148: 577-587.
[10] ? (1992b): ?Risk Sharing Markets and International Trade?.Jahrbücher für Nationalökonomie und Statistik 210: 64-71.
[11] Cox, J. C., and Ross, S. A. (1976): ?The Valuation of Options for Alternative Stochastic Processes?.Journal of Financial Economics 3: 145-166. · doi:10.1016/0304-405X(76)90023-4
[12] Eldor, R., and Zilcha, I. (1987): ?Discriminating Monopoly, Forward Markets and International Trade?.International Economic Review 28: 459-468. · doi:10.2307/2526737
[13] Ethier, W. (1973): ?International Trade and the Forward Exchange Market?.American Economic Review 63: 494-503.
[14] Feder, G., Just, R. E. and Schmitz, A. (1980): ?Futures Markets and the Theory of the Firm Under Price Uncertainty?.Quarterly Journal of Economics 94: 317-328. · doi:10.2307/1884543
[15] Garman, M. B., and Kohlhagen, S. W. (1983): ?Foreign Currency Option Values?.Journal of International Money and Finance 2: 231-237. · doi:10.1016/S0261-5606(83)80001-1
[16] Grabbe, O. (1983): ?The Pricing of Call and Put Options on Foreign Exchange?.Journal of International Money and Finance 2: 239-253. · doi:10.1016/S0261-5606(83)80002-3
[17] Hakansson, N. (1979): ?The Fantastic World of Finance: Progress and the Free Lunch?.Journal of Financial and Quantitative Analysis (Proceedings Issue) 14: 717-734. · doi:10.2307/2330448
[18] Harrison, J. M., and Kreps, D. M. (1979): ?Martingales and Arbitrage in Multiperiod Security Markets?.Journal of Economic Theory 20: 381-408. · Zbl 0431.90019 · doi:10.1016/0022-0531(79)90043-7
[19] Hartman, R. (1976): ?Factor Demand with Output Price Uncertainty?.American Economic Review 66: 675-681.
[20] Holthausen, D. M. (1979): ?Hedging and the Competitve Firm Under Price Uncertainty?.American Economic Review 69: 989-995.
[21] Ingersoll, J. E. (1987):Theory of Financial Decision Making. Totowa: Rowman and Littlefield.
[22] Kähler, J. (1991): ?On the Modelling of Exchange-rate Dynamics by Stable Paretian Distributions.? Discussion Paper No. 448-91, University of Mannheim.
[23] Moschini, G., and Lapan, H. (1992): ?Hedging Price Risk with Options and Futures for the Competitive Firm with Production Flexibility?.International Economic Review 33: 607-618. · Zbl 0825.90092 · doi:10.2307/2527128
[24] Müller, S. (1985):Arbitrage Pricing of Contingent Claims. Heidelberg: Springer. · Zbl 0587.90005
[25] Nance, D. R., Smith, C. W., and Smithson, C. W. (1993): ?On the Determinants of Corporate Hedging?.Journal of Finance 48: 267-284. · doi:10.2307/2328889
[26] Ross, S. A. (1976): ?Options and Efficiency?.Quarterly Journal of Economics 90: 75-89. · Zbl 0329.90002 · doi:10.2307/1886087
[27] Scharrer, H. E., and Langer, C. (1988): ?Wechselkursverschiebungen und Unternehmensreaktionen.?Wirtschaftsdienst Jg. 9/68: 470-476.
[28] Sondermann, D. (1987): ?Currency Options: Hedging and Social Value?.European Economic Review 31: 246-256. · doi:10.1016/0014-2921(87)90037-7
[29] Stulz, R. M. (1984): ?Optimal Hedging Policies?.Journal of Financial and Quantitative Analysis 19: 127-140. · doi:10.2307/2330894
[30] Varian, H. (1987): ?The Arbitrage Principle in Financial Economics?.Journal of Economic Perspectives 1: 55-72.
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.