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Hedging effectiveness of currency options and currency futures

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  • Jack S. K. Chang
  • Latha Shanker

Abstract

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Suggested Citation

  • Jack S. K. Chang & Latha Shanker, 1986. "Hedging effectiveness of currency options and currency futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 6(2), pages 289-305, June.
    • Handle: RePEc:wly:jfutmk:v:6:y:1986:i:2:p:289-305
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    Cited by:

    1. Patrick L. Brockett & Mulong Wang & Chuanhou Yang, 2005. "Weather Derivatives and Weather Risk Management," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 8(1), pages 127-140, March.
    2. Wong Kit Pong, 2002. "Export-Flexible Firms and Forward Markets," International Economic Journal, Taylor & Francis Journals, vol. 16(3), pages 81-95.
    3. de Jong, A. & de Roon, F.A. & Veld, C.H., 1995. "An empirical analysis of the hedging effectiveness of currency futures," Discussion Paper 1995-119, Tilburg University, Center for Economic Research.
    4. Kam Fong Chan & Christopher Gan & Patricia A. McGraw, 2003. "A Hedging Strategy for New Zealand’s Exporters in Transaction Exposure to Currency Risk," Multinational Finance Journal, Multinational Finance Journal, vol. 7(1-2), pages 25-54, March-Jun.
    5. Sung Won Seo & Suk Joon Byun & Jun Sik Kim, 2020. "Index options open interest and stock market returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 989-1010, June.
    6. Kit Pong Wong, 2001. "Currency Hedging For Export-Flexible Firms," International Economic Journal, Taylor & Francis Journals, vol. 15(1), pages 165-174.
    7. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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