The preferred hedge instrument

被引：19

作者：

Battermann, HL

Braulke, M

Broll, U

Schimmelpfennig, J

机构：

[1] Tech Univ Chemnitz, Dept Econ, D-09107 Chemnitz, Germany

[2] Univ Osnabruck, Dept Econ, D-49069 Osnabruck, Germany

[3] Univ Bonn, Dept Econ, D-53113 Bonn, Germany

[4] Ruhr Univ Bochum, Dept Econ, D-44780 Bochum, Germany

来源：

ECONOMICS LETTERS | 2000年 / 66卷 / 01期

关键词：

exchange rate risk; futures; options;

D O I：

10.1016/S0165-1765(99)00180-9

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The optimal choice of hedging instruments in futures and option markets is analyzed for a risk averse exporting firm that maximizes expected utility. Assuming unbiased futures and options prices, optimal output and hedging decisions are derived. It is shown that futures will unequivocally be preferred to options. This preference for futures continues even if their price is adversely biased, provided the bias is not too strong. (C) 2000 Elsevier Science S.A, All rights reserved.

引用

页码：85 / 91

页数：7

共 4 条

[1]

BROLL UF, 1992, J FUTURES MARKETS, V12, P511

[2] RISK MANAGEMENT - COORDINATING CORPORATE-INVESTMENT AND FINANCING POLICIES [J].