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dc.contributor.advisorJain, Neelamen_US
dc.contributor.authorBiagioli, Anthony J. F.en_US
dc.date.accessioned2016-12-21T15:32:34Z
dc.date.available2016-12-21T15:32:34Z
dc.date.issued2007
dc.identifier.urihttp://commons.lib.niu.edu/handle/10843/17234
dc.descriptionIncludes bibliographical references (pages [64]-65).en_US
dc.description.abstractChang and Wong investigated the optimal hedging strategy for a multinational firm which has future cash flows in a foreign currency but is unable to directly hedge the exchange rate risk. The firm then uses a third currency to partially hedge the risk. This paper generalizes the paper of Chang and Wong by showing that some of the assumptions about the distributions of the stochastic process generating the exchange rates are more restrictive than necessary, i.e., that the same results hold under weaker assumptions. It then does specific calculations for the case of bivariate lognormal distributions and compares the results to those of Chang and Wong. Using the bivariate lognormal model with a term for inflation gives the best performance under a real-life data set.en_US
dc.format.extent65 pagesen_US
dc.language.isoengen_US
dc.publisherNorthern Illinois Universityen_US
dc.rightsNIU theses are protected by copyright. They may be viewed from Huskie Commons for any purpose, but reproduction or distribution in any format is prohibited without the written permission of the authors.en_US
dc.subject.lcshHedging (Finance)--Mathematical modelsen_US
dc.titleCross-hedging with futures and options : bivariate lognormal and other distributionsen_US
dc.type.genreDissertation/Thesisen_US
dc.typeTexten_US
dc.contributor.departmentDepartment of Economicsen_US
dc.description.degreePh.D. (Doctor of Philosophy)en_US


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