Publikation: Restricted Export Flexibility and Risk Management with Options and Futures
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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.
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ADAM-MÜLLER, Axel F. A., Kit Pong WONG, 2002. Restricted Export Flexibility and Risk Management with Options and FuturesBibTex
@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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