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- W2013096895 abstract "This paper documents some empirical evidence of nonlinear spot-futures exchange rates relationships and develops an expected utility model of an exporting firm to examine the associated economic implications. The model shows that the firm should export more (less) and adopt an over (under) hedge in an unbiased currency futures market if the spot-futures exchange rates relationships is convex (concave) rather than linear. When fairly priced currency options on futures are available, the firm should use them in conjunction with the currency futures so as to achieve better hedging against its nonlinear exchange rate risk exposure. This provides a rationale for the hedging role of options when the underlying uncertainty is nonlinear in nature." @default.
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- W2013096895 date "2001-04-01" @default.
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- W2013096895 title "Hedging and nonlinear risk exposure" @default.
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- W2013096895 doi "https://doi.org/10.1093/oep/53.2.281" @default.
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