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Reply to “A comment on 'A hedging deficiency in eurodollar futures'”

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  • Don M. Chance

Abstract

Kawaller's argument that a perfect hedge is possible with eurodollar futures is limited to the notion of a perfect accounting hedge, whereby the time value of money is ignored. In addition, his attempt to show the importance of sizing the hedge merely introduces a change to the problem, leading to a difference in our results that he erroneously believes is a mistake on my part. It is easy to show that his example is driven by an irrelevant distraction. I correct his example and show that had he worked the same problem I worked, he would have worked it the same way I did. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:195–201, 2007

Suggested Citation

  • Don M. Chance, 2007. "Reply to “A comment on 'A hedging deficiency in eurodollar futures'”," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(2), pages 195-201, February.
    • Handle: RePEc:wly:jfutmk:v:27:y:2007:i:2:p:195-201
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