Exchange Rate Exposure and Optimal Hedging Strategies when Interest Rates are Stochastic: a Simulation-Based Approach
In this paper i analyze the problem faced by an investor expecting to receive a cash flow in a foreign currency. The investor is assumed to be exposed to long-term exchange rate risk, having no access to long-term forward contracts to hedge perfectly. Under non stochastic interest rates the investor...
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| Format: | Artigo |
| Sprache: | Inglês |
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Universidad de Chile
2003-03-01
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| Schriftenreihe: | Estudios de Administración |
| Online-Zugang: | https://estudiosdeadministracion.uchile.cl/index.php/EDA/article/view/56778 |
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