去还是不去?

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2015-11-09 DOI:10.2139/ssrn.2688319

Asad Sultan

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引用次数: 0

摘要

人们是否总是需要Quanto期权来对冲外汇衍生品风险敞口?这是实证调查，并作为一个例子，日经指数看跌期权的美元投资者进行了审查。三个外部事件被考虑:1989/90年日本股市崩盘，1995年神户地震和2011年福岛海啸。结论是，这取决于基础指数与外汇汇率之间的相关性，也取决于所考虑的国家。

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To Quanto or Not to Quanto?

Does one always need a Quanto option to hedge foreign exchange derivative exposure? This is investigated empirically, and as an example a put option on the Nikkei Index for a USD investor was examined. Three external events were considered: 1989/90 Japanese stock market crash, 1995 Kobe earth quake and 2011 Fukushima Tsunami. The conclusion is that it depends on the correlation between underlying index and foreign exchange rate and also on the country in consideration.

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Econometric Modeling: International Financial Markets - Foreign Exchange eJournal

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