International currency relationship information revealed by cross-option prices

Article Abstract:

The use of cross-option prices in evaluating future relationships between changes in the exchange rates of foreign currencies proves to be more effective than the use of historical measures. Empirical tests show that cross-option prices provide improved currency market estimates although they are not perfectly applicable in reality. Additionally, the information content of implicit beta hedge ratio of foreign currencies using cross-option prices is greater than that of historical hedge ratio.

Author: Siegel, Andrew F.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1997
Foreign Currency Management, Research, Foreign exchange, Currency options

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A hedging deficiency in eurodollar futures

Article Abstract:

The eurodollar futures contract of the Chicago Mercantile Exchange is generally regarded as one of the most successful futures contracts. It is shown that the eurodollar features contract is not a perfect hedge. This implies that there is a risk of more or less four basis points.

Author: Chance, Don M.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
Michigan, Security and Commodity Services, Commodity contracts brokers, dealers, Futures market, Futures markets, Commodities industry, Chicago Mercantile Exchange Inc.

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Subjects list: Analysis, Hedging (Finance)
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