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Hedging effectiveness of currency options and currency futures
16 references·3 citing·38 second hop
Hedging effectiveness of currency options and currency futures (1986)Hedging effectiveness of currency options…Problems in Evaluating the Performance of Portfolios with Options (1985)Problems in Evaluating the Pe…A Risk-Return Measure of Hedging Effectiveness (1984)A Risk-Return Measure of Hedg…The Valuation of Currency Options (1983)The Valuation of Currency Opt…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…The hedging effectiveness of currency futures markets (1981)The hedging effectiveness of …Cross Hedging (1981)Cross HedgingWho Should Buy Portfolio Insurance? (1980)Who Should Buy Portfolio Insu…The Hedging Performance of the New Futures Markets: Comment (1980)The Hedging Performance of th…Hedging and Joint Production: Theory and Illustrations (1980)Hedging and Joint Production:…Hedging and Joint Production: Theory and Illustrations (1980)Hedging and Joint Production:…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…The Theory of Hedging and Speculation in Commodity Futures (1976)The Theory of Hedging and Spe…The pricing of commodity contracts (1976)The pricing of commodity cont…SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION (1976)SIMPLE CRITERIA FOR OPTIMAL P…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Theory of Hedging and Speculation in Commodity Futures (1960)The Theory of Hedging and Spe…Basis risk and hedging efficiency of weather derivatives (2009)Basis risk and hedging effici…The hedging performance in new agricultural futures markets: A note (1997)The hedging performance in ne…An intertemporal measure of hedging effectiveness (1990)An intertemporal measure of h…Portfolio Selection (1952)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)How to Use Security Analysis to Improve Portfolio Selection (1973)Delegated portfolio management (1985)A Brief History of Downside Risk Measures (1999)Multi-objective stochastic programming for portfolio selection (2005)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Economic Theory of Agency: The Principal's Problem. (1973)Prices of State-Contingent Claims Implicit in Option Prices (1978)Optimal positioning in derivative securities (2001)The new financial order: risk in the 21st century (2003)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Hedging and the Competitive Firm under Price Uncertainty (1979)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures (1991)A new measure to compare the hedging effectiveness of foreign currency futures versus options (1994)Futures hedge ratios: a review (2003)On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios (2007)Crude oil hedging strategies using dynamic multivariate GARCH (2011)The hedging effect of green bonds on carbon market risk (2020)Hedging Performance and Basis Risk in Stock Index Futures (1984)Estimating time‐varying optimal hedge ratios on futures markets (1991)Currency Hedging for International Portfolios (1993)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1976The Theory of Hedging and Speculation in Commodity Futures660 cited
  • 1960The Theory of Hedging and Speculation in Commodity Futures617 cited
  • 1980Who Should Buy Portfolio Insurance?392 cited
  • 1976SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION317 cited
  • 1981Cross Hedging283 cited
  • 1984A Risk-Return Measure of Hedging Effectiveness177 cited
  • 1983The Valuation of Currency Options156 cited
  • 1980Hedging and Joint Production: Theory and Illustrations140 cited
  • 1980Hedging and Joint Production: Theory and Illustrations109 cited
  • 1980The Hedging Performance of the New Futures Markets: Comment93 cited
  • 1985Problems in Evaluating the Performance of Portfolios with Options74 cited
  • 1981The hedging effectiveness of currency futures markets54 cited

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Cited by

  • 1997The hedging performance in new agricultural futures markets: A note31 cited
  • 2009Basis risk and hedging efficiency of weather derivatives28 cited
  • 1990An intertemporal measure of hedging effectiveness20 cited