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Exchange Rate Economic Exposure under Collusive Pricing and Hedging using Asian Options

Kanas, Angelos (2000) Exchange Rate Economic Exposure under Collusive Pricing and Hedging using Asian Options. Economica Internazional, 53 (1). pp. 53-67. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)

Abstract

This paper provides a financial engineering exercise for a specific form of exchange rate economic (competitiveness) exposure and discusses the hedging solution for this exposure. Specifically, it analyses exposure in a market where international competitors follow a type of collusive pricing behaviour, and derives the risk profile of this exposure. It then proposes a hedging scenario based on a portfolio of Asian Currency Options consisting of a 1:1 Bull Cali Spread and a short put. The practical implications of this paper are of interest to currency option traders who can launch new hedging applications of currency option portfolios, and to exposed firms facing this particular form of economic exposure.

Item Type: Article
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 23 May 2014 09:28 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41175 (The current URI for this page, for reference purposes)
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