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Optimal bidding and hedging in international markets

  • Lien, Donald
  • Wong, Kit Pong
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    File URL: http://www.sciencedirect.com/science/article/B6V9S-4C5HS4W-1/2/dfd990dfcf93818852f752066f7e3b89
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    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 23 (2004)
    Issue (Month): 5 (September)
    Pages: 785-798

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    Handle: RePEc:eee:jimfin:v:23:y:2004:i:5:p:785-798
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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    1. Kenneth A. Froot & David S. Scharfstein & Jeremy C. Stein, 1992. "Risk Management: Coordinating Corporate Investment and Financing Policies," NBER Working Papers 4084, National Bureau of Economic Research, Inc.
    2. Zilcha, Itzhak & Eldor, Rafael, 1991. "Exporting firm and forward markets: the multiperiod case," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 108-117, March.
    3. Broll, Udo & Wahl, Jack E. & Zilcha, Itzhak, 1995. "Indirect hedging of exchange rate risk," Journal of International Money and Finance, Elsevier, vol. 14(5), pages 667-678, October.
    4. Broll, Udo & Zilcha, Itzhak, 1992. "Exchange rate uncertainty, futures markets and the multinational firm," European Economic Review, Elsevier, vol. 36(4), pages 815-826, May.
    5. 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.
    6. Moschini, GianCarlo & Lapan, Harvey E., 1995. "Hedging Role of Options and Futures Under Joint Price, Basis and Production Risk, The," Staff General Research Papers 5137, Iowa State University, Department of Economics.
    7. Broll, Udo & Chow, Kong Wing & Wong, Kit Pong, 2001. "Hedging and Nonlinear Risk Exposure," Oxford Economic Papers, Oxford University Press, vol. 53(2), pages 281-96, April.
    8. Sandmo, Agnar, 1971. "On the Theory of the Competitive Firm under Price Uncertainty," American Economic Review, American Economic Association, vol. 61(1), pages 65-73, March.
    9. Moschini, GianCarlo & Lapan, Harvey E., 1992. "Hedging Price Risk with Options and Futures for the Competitive Firm with Production Flexibility," Staff General Research Papers 10043, Iowa State University, Department of Economics.
    10. Dreze, Jacques H. & Modigliani, Franco, 1972. "Consumption decisions under uncertainty," Journal of Economic Theory, Elsevier, vol. 5(3), pages 308-335, December.
    11. Sergio H. Lence & Yong Sakong & Dermot J. Hayes, 1993. "Multiperiod Production with Forward and Options Markets," Center for Agricultural and Rural Development (CARD) Publications 93-wp112, Center for Agricultural and Rural Development (CARD) at Iowa State University.
    12. Sakong, Yong & Hayes, Dermot J. & Hallam, Arne, 1993. "Hedging Production Risk with Options," Staff General Research Papers 559, Iowa State University, Department of Economics.
    13. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    14. Adam-Muller, Axel F. A., 2000. "Hedging price risk when real wealth matters," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 549-560, August.
    15. Stulz, ReneM., 1990. "Managerial discretion and optimal financing policies," Journal of Financial Economics, Elsevier, vol. 26(1), pages 3-27, July.
    16. Moschini, Giancarlo & Lapan, Harvey, 1995. "The Hedging Role of Options and Futures under Joint Price, Basis, and Production Risk," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 36(4), pages 1025-49, November.
    17. Briys, Eric & Crouhy, Michel & Schlesinger, Harris, 1993. "Optimal hedging in a futures market with background noise and basis risk," European Economic Review, Elsevier, vol. 37(5), pages 949-960, June.
    18. Stulz, René M., 1984. "Optimal Hedging Policies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(02), pages 127-140, June.
    19. Wong, Kit Pong, 2003. "Currency hedging with options and futures," European Economic Review, Elsevier, vol. 47(5), pages 833-839, October.
    20. Miles S. Kimball, 1991. "Standard Risk Aversion," NBER Technical Working Papers 0099, National Bureau of Economic Research, Inc.
    21. Eaker, Mark R. & Grant, Dwight, 1985. "Optimal hedging of uncertain and long-term foreign exchange exposure," Journal of Banking & Finance, Elsevier, vol. 9(2), pages 221-231, June.
    22. Feiger, George M & Jacquillat, Bertrand, 1979. "Currency Options Bonds, Puts and Calls on Spot Exchange and the Hedging of Contingent Foreign Earnings," Journal of Finance, American Finance Association, vol. 34(5), pages 1129-39, December.
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