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Hedging the risks from writing foreign currency options

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  • Hull, John
  • White, Alan

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  • Hull, John & White, Alan, 1987. "Hedging the risks from writing foreign currency options," Journal of International Money and Finance, Elsevier, vol. 6(2), pages 131-152, June.
  • Handle: RePEc:eee:jimfin:v:6:y:1987:i:2:p:131-152
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    Citations

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    Cited by:

    1. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc.
    2. Robert F. Engle & Joshua Rosenberg, 1966. "Testing the Volatility Term Structure Using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-24, New York University, Leonard N. Stern School of Business-.
    3. Georgios Tsiotas, 2009. "On the use of non-linear transformations in Stochastic Volatility models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(4), pages 555-583, November.
    4. Selçuk, Faruk, 2004. "Free float and stochastic volatility: the experience of a small open economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 342(3), pages 693-700.
    5. M. Hakan Eratalay, 2016. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," International Econometric Review (IER), Econometric Research Association, vol. 8(2), pages 19-52, September.
    6. 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;Japanese Association of Financial Economics and Engineering, vol. 12(2), pages 109-141, June.
    7. repec:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0342-6 is not listed on IDEAS
    8. Sebastian Herrmann & Johannes Muhle-Karbe, 2017. "Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging," Papers 1704.04524, arXiv.org.
    9. Dao, Chi-Mai & Wolters, Jürgen, 2008. "Common stochastic volatility trends in international stock returns," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 431-445, June.
    10. 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.
    11. Raymond Chiang & John Okunev & Mark Tippett, 1997. "Stochastic interest rates, transaction costs, and immunizing foreign currency risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(5), pages 579-598, August.
    12. 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.
    13. 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.
    14. 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.
    15. 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.
    16. Dajiang Guo, 2000. "Dynamic Volatility Trading Strategies in the Currency Option Market," Review of Derivatives Research, Springer, vol. 4(2), pages 133-154, May.

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