Universität zu Köln

Korn, Olaf and Merz, Alexander ORCID: 0000-0002-6613-316X (2019). How to hedge if the payment date is uncertain? J. Futures Mark., 39 (4). S. 481 - 499. HOBOKEN: WILEY. ISSN 1096-9934

Full text not available from this repository.

Abstract

This paper investigates how firms should hedge price risk when payment dates are uncertain. We derive variance-minimizing strategies and show that the instrument choice is essential for this problem, similar to the choice between a strip and a stack hedge. The first setting concentrates on futures hedges, whereas the second allows for nonlinear derivatives. In both settings, firms should take positions in derivatives with different maturities simultaneously. We present an empirical analysis for commodities and exchange rates, showing that in both settings the optimal strategy clearly outperforms the commonly used heuristic strategies which consider only one hedging instrument at a time.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Korn, Olaf UNSPECIFIED UNSPECIFIED UNSPECIFIED Merz, Alexander UNSPECIFIED orcid.org/0000-0002-6613-316X UNSPECIFIED
URN:	urn:nbn:de:hbz:38-153183
DOI:	10.1002/fut.21987
Journal or Publication Title:	J. Futures Mark.
Volume:	39
Number:	4
Page Range:	S. 481 - 499
Date:	2019
Publisher:	WILEY
Place of Publication:	HOBOKEN
ISSN:	1096-9934
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language RISK-MANAGEMENT; FUTURES; CURRENCY; OPTIONS; FIRMS; COMMODITY; PRICE Multiple languages Business, Finance Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/15318