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A comment on “A hedging deficiency in eurodollar futures”

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  • Ira G. Kawaller

Abstract

Professor Chance's analysis shows that hedge results from eurodollar futures are imperfect; and he credits the futures contract design as being the source of the error. This comment argues that the unanticipated outcomes that Professor Chance evidences stem not from the design of the contract, but rather from improperly sizing hedge transactions. If appropriately sized hedges are used, perfect hedge outcomes in fact, will follow. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:187–193, 2007

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  • Ira G. Kawaller, 2007. "A comment on “A hedging deficiency in eurodollar futures”," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(2), pages 187-193, February.
    • Handle: RePEc:wly:jfutmk:v:27:y:2007:i:2:p:187-193
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