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Hedging the risks from writing foreign currency options

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  • Hull, John
  • White, Alan

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 6 (1987)
Issue (Month): 2 (June)
Pages: 131-152

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Handle: RePEc:eee:jimfin:v:6:y:1987:i:2:p:131-152

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Web page: http://www.elsevier.com/locate/inca/30443

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Cited by:
  1. R. Chiang & John Okunev & Mark Tippett, 1996. "Stochastic Interest Rates, Transaction Costs and Immunizing Foreign Currency Risk," Working Paper Series 58, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  2. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc.
  3. J. Jimenez & R. Biscay & T. Ozaki, 2005. "Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview," Asia-Pacific Financial Markets, Springer, vol. 12(2), pages 109-141, June.
  4. Ibrahim Chowdhury & Lucio Sarno, 2004. "Time-Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5-6), pages 759-793.
  5. Georgios Tsiotas, 2009. "On the use of non-linear transformations in Stochastic Volatility models," Statistical Methods and Applications, Springer, vol. 18(4), pages 555-583, November.
  6. Chang, Chuang-Chang, 2001. "Efficient procedures for the valuation and hedging of American currency options with stochastic interest rates," Journal of Multinational Financial Management, Elsevier, vol. 11(3), pages 241-268, July.
  7. Dajiang Guo, 2000. "Dynamic Volatility Trading Strategies in the Currency Option Market," Review of Derivatives Research, Springer, vol. 4(2), pages 133-154, May.
  8. Robert F. Engle & Joshua Rosenberg, 1998. "Testing the Volatility Term Structure using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-031, New York University, Leonard N. Stern School of Business-.
  9. Dao, Chi-Mai & Wolters, J├╝rgen, 2008. "Common stochastic volatility trends in international stock returns," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 431-445, June.
  10. Mustafa Hakan Eratalay, 2012. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," EUSP Deparment of Economics Working Paper Series Ec-04/12, European University at St. Petersburg, Department of Economics.
  11. Chihwa Kao, 2001. "Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates," Center for Policy Research Working Papers 34, Center for Policy Research, Maxwell School, Syracuse University.
  12. Barone-Adesi, Giovanni & Rasmussen, Henrik & Ravanelli, Claudia, 2005. "An option pricing formula for the GARCH diffusion model," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 287-310, April.

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