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Cross-hedging with futures and options: The effects of disappointment aversion

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  • Lien, Donald
  • Wang, Yan
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    File URL: http://www.sciencedirect.com/science/article/B6VGV-4GV8T9H-1/2/c412d8ae9b7d5dda712a755239223cef
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multinational Financial Management.

    Volume (Year): 16 (2006)
    Issue (Month): 1 (February)
    Pages: 16-26

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    Handle: RePEc:eee:mulfin:v:16:y:2006:i:1:p:16-26

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    Web page: http://www.elsevier.com/locate/mulfin

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    1. Chang, Eric C. & Wong, Kit Pong, 2003. "Cross-Hedging with Currency Options and Futures," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(03), pages 555-574, September.
    2. Steil, Benn, 1993. "Currency Options and the Optimal Hedging of Contingent Foreign Exchange Exposure," Economica, London School of Economics and Political Science, London School of Economics and Political Science, vol. 60(240), pages 413-31, November.
    3. Gul, Faruk, 1991. "A Theory of Disappointment Aversion," Econometrica, Econometric Society, Econometric Society, vol. 59(3), pages 667-86, May.
    4. Ware, Roger & Winter, Ralph, 1988. "Forward markets, currency options and the hedging of foreign exchange risk," Journal of International Economics, Elsevier, vol. 25(3-4), pages 291-302, November.
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    Cited by:
    1. Wong, Kit Pong, 2006. "Foreign direct investment and forward hedging," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 16(5), pages 459-474, December.

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