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How firms should hedge: An extension by Olaf Korn is a Economics, Econometrics and Finance article available to read on EtoBox.
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## Abstract This note studies a firm's optimal hedging strategy with tailor‐made exotic derivatives under both price risk and quantity risk. It extends the analysis of Brown G. W. and Toft K.‐B. (2002) by relaxing the assumption of a bivariate normal distribution. The optimal payoff function of a derivative contract is characterized in terms of the expectation and variance of the quantity, conditional on the price. This main result is illustrated by different examples, stressing the importance of the dependence structure between price risk and quantity risk for the choice of appropriate hedging instruments. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:834–845, 2010
Who reads How firms should hedge: An extension?
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- Olaf Korn
- Publisher
- John Wiley and Sons; Wiley (John Wiley & Sons); John Wiley & Sons Inc.; Wiley (ISSN 0270-7314)
- Published
- 2010
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)