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- W2187141473 abstract "This paper examines the problem of hedging foreign exchange risk across multiple countries using currency options. The profit target requirement is formulated as a stochastic constraint in the context of a binomial lattice. Models are presented for European options. In a numerical example, five currency options are selected, allowing for long or short positions, depending on the target value." @default.
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- W2187141473 date "1996-01-01" @default.
- W2187141473 modified "2023-09-27" @default.
- W2187141473 title "MULTIPLE CURRENCY OPTION SELECTION USING STOCHASTIC CONSTRAINTS" @default.
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