Evaluation of options portfolios for exchange rate hedges

Optimal Static-Dynamic Hedges for Barrier Options

We study optimal hedging of barrier options using a combination of a static position in vanilla options and dynamic trading of the underlying asset. The problem reduces to computing the Fenchel-Legendre transform of the utility-indifference price as a function of the number of vanilla options used to hedge. Using the well-known duality between exponential utility and relative entropy, we provid...

Exchange rate forecasting and the performance of currency portfolios

1Department of Economics, Vienna University of Economics and Business (WU), Vienna, Austria 2Wittgenstein Centre for Demography and Global Human Capital (WIC), Vienna, Austria 3World Population Program, International Institute for Applied Systems Analysis (IIASA), Laxenburg, Austria 4Austrian Institute of Economic Research (WIFO), Vienna, Austria 5Research Group Macroeconomics and Economic Poli...

an appropriate model for exchange rate predictability in iran: comparing potential forecastability

nowadays in trade and economic issues, prediction is proposed as the most important branch of science. existence of effective variables, caused various sectors of the economic and business executives to prefer having mechanisms which can be used in their decisions. in recent years, several advances have led to various challenges in the science of forecasting. economical managers in various fi...

Evaluation of Plant Species for Vegetative Hedges

Numerical methods for optimization in finance: optimized hedges for options and optimized options for hedging

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