換危險管理와 通貨옵션契約

• 영문명: Foreign Exchange Risk Management and the Currency Option Contract
• 발행기관: 한국상품학회
• 저자명: 문창권(ChangKuen Moon)
• 간행물 정보: 『상품학연구』제27호, 283~312쪽, 전체 29쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2002.12.01

영문 초록

This paper analyzes the processes of deriving the Garman-Kohlhagen model for pricing the European currency call option contract through the SRB model and derives the currency option-used hedging strategies for the exchange rate risk management through identifying the hedging rules together with the relevant Greek-letter risk measures, the calculating methods of optimum hedge ratio, and the necessary conditions of the better relative effectiveness of option-using hedging. It is generally perceived that the currency futures is almost always a better hedging instrument than the currency options. But the simple protective put option hedging leads to the better performance than the shorting currency futures contract and the other hedging instrument in the special condition. In addition, many firms in the advanced countries such as USA and Germany frequently used the OTC currency option contracts to hedge the foreign exchange rate risk. The hedging strategies of managing the exchange rate risk shoud be, therefore, established with the currency option contracts in the case of the increasing interest rate and the large volatility of underlying asset price. As well, the hedging strategies with the long put or the short call will be necessary when the nonlinearity between spot rate and futures price strongly exists.

목차

Ⅰ. 序論

Ⅱ. 企業의 換危險管理와 헤징

Ⅲ. 通貨옵션의 價格決定과 危險測定値

Ⅳ. 通貨옵션을 이용한 헤징戰略

Ⅴ. 要約 및 結論

참고문헌

Summary