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How Firms Manage Risk: The Optimal Mix Of Linear And Non-Linear Derivatives

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  • Gerald D. Gay
  • Jouahn Nam
  • Marian Turac
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    Abstract

    This paper provides guidance on how corporations should choose the optimal mix of "linear" and "non-linear" derivatives. Linear derivatives are products such as futures, forwards, and swaps, whose payoffs vary in linear fashion with changes in the un-derlying asset price or reference rate. Non-linear derivatives are contracts with option-like payoffs, including caps, floors, and swaptions. 2002 Morgan Stanley.

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    Bibliographic Info

    Article provided by Morgan Stanley in its journal Journal of Applied Corporate Finance.

    Volume (Year): 14 (2002)
    Issue (Month): 4 ()
    Pages: 82-93

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    Handle: RePEc:bla:jacrfn:v:14:y:2002:i:4:p:82-93

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    Cited by:
    1. Georges Dionne & Karima Ouederni, 2010. "Corporate Risk Management and Dividend Signaling Theory," Cahiers de recherche 1008, CIRPEE.
    2. Frestad, Dennis, 2010. "Corporate hedging under a resource rent tax regime," Energy Economics, Elsevier, vol. 32(2), pages 458-468, March.
    3. Frestad, Dennis, 2010. "Convex costs and the hedging paradox," Journal of Corporate Finance, Elsevier, vol. 16(2), pages 236-242, April.
    4. Mohamed Mnasri & Georges Dionne & Jean-Pierre Gueyie, 2013. "The Maturity Structure of Corporate Hedging: the Case of the U.S. Oil and Gas Industry," Cahiers de recherche 1337, CIRPEE.

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