Publikation:

Restricted Export Flexibility and Risk Management with Options and Futures

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02-07.pdf
02-07.pdfGröße: 212.48 KBDownloads: 496

Datum

2002

Autor:innen

Adam-Müller, Axel F. A.
Wong, Kit Pong

Herausgeber:innen

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ISBN

Bibliografische Daten

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Schriftenreihe

CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie; 2002/07

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Titel in einer weiteren Sprache

Publikationstyp
Working Paper/Technical Report
Publikationsstatus

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Zusammenfassung

This paper examines the production, export and risk management decisions of a risk-averse competitive firm under exchange rate risk. The firm is export flexible in allocating its output to either the domestic market or a foreign market after observing the exchange rate. Export flexibility is restricted by certain minimum sales requirements that are due to long-term considerations. Currency options are sufficient to derive a separation result under restricted export flexibility. Under fairly priced currency futures and options, full hedging with both instruments is optimal. Introducing fairly-priced currency options stimulates production provided that the currency futures market is unbiased.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

restricted export flexibility, risk management, currency futures, currency options

Konferenz

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Forschungsvorhaben

Organisationseinheiten

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ISO 690ADAM-MÜLLER, Axel F. A., Kit Pong WONG, 2002. Restricted Export Flexibility and Risk Management with Options and Futures
BibTex
@techreport{AdamMuller2002Restr-12024,
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Restricted Export Flexibility and Risk Management with Options and Futures},
  year={2002},
  number={2002/07},
  author={Adam-Müller, Axel F. A. and Wong, Kit Pong}
}
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Interner Vermerk

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