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Dynamic Hedging and the Interest Rate Defense

In: The Microstructure of Foreign Exchange Markets

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  • Peter M. Garber
  • Michael G. Spencer

Abstract

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Suggested Citation

  • Peter M. Garber & Michael G. Spencer, 1996. "Dynamic Hedging and the Interest Rate Defense," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 209-228, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberch:11366
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    References listed on IDEAS

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    1. Melino, Angelo & Turnbull, Stuart M., 1990. "Pricing foreign currency options with stochastic volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 239-265.
    2. Gennotte, Gerard & Leland, Hayne, 1990. "Market Liquidity, Hedging, and Crashes," American Economic Review, American Economic Association, vol. 80(5), pages 999-1021, December.
    3. Naik, Vasanttilak, 1993. "Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns," Journal of Finance, American Finance Association, vol. 48(5), pages 1969-1984, December.
    4. Ho, Mun S & Perraudin, William R M & Sorensen, Bent E, 1996. "A Continuous-Time Arbitrage-Pricing Model with Stochastic Volatility and Jumps," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 31-43, January.
    5. Dumas, Bernard & Peter Jennergren, L. & Naslund, Bertil, 1995. "Realignment risk and currency option pricing in target zones," European Economic Review, Elsevier, vol. 39(8), pages 1523-1544, October.
    6. Orlin Grabbe, J., 1983. "The pricing of call and put options on foreign exchange," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 239-253, December.
    7. Orlin J. Grabbe, "undated". "The Pricing of Call and Put Options on Foreign Exchange," Rodney L. White Center for Financial Research Working Papers 6-83, Wharton School Rodney L. White Center for Financial Research.
    8. Raymond Chiang & John Okunev, 1993. "An alternative formulation on the pricing of foreign currency options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(8), pages 903-907, December.
    9. Grossman, Sanford J, 1988. "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies," The Journal of Business, University of Chicago Press, vol. 61(3), pages 275-298, July.
    10. Dumas, B. & Jennergren, L.P. & Naslund, B., 1993. "Realignment Bank and Currency Option Pricing in Target Zones," Weiss Center Working Papers 93-6, Wharton School - Weiss Center for International Financial Research.
    11. Kroner, Kenneth F. & Sultan, Jahangir, 1993. "Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(4), pages 535-551, December.
    12. Orlin J. Grabbe, "undated". "The Pricing of Call and Put Options on Foreign Exchange," Rodney L. White Center for Financial Research Working Papers 06-83, Wharton School Rodney L. White Center for Financial Research.
    13. Garman, Mark B. & Kohlhagen, Steven W., 1983. "Foreign currency option values," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 231-237, December.
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    Cited by:

    1. Krueger, Malte, 1999. "Dynamic hedging in currency crisis," Economics Letters, Elsevier, vol. 62(3), pages 347-350, March.
    2. Ngee-Choon Chia, 1998. "Motor Vehicle Taxes as Environmental Instruments: The Case of Singapore," University of Western Ontario, Departmental Research Report Series 9811, University of Western Ontario, Department of Economics.

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