Cross-Hedging with Currency Options and Futures
构建了一个跨国公司的期望效用模型，该公司面临外币现金流的汇率风险，但本币与外币间无衍生品市场，只能利用本币与第三方货币的期货和期权市场进行间接套期保值，并分析了最优交叉套期保值策略。
This paper develops an expected utility model of a multinational firm facing exchange rate risk exposure to a foreign currency cash flow. Currency derivative markets do not exist between the domestic and foreign currencies. There are, however, currency futures and options markets between the domestic currency and a third currency to which the firm has access. Since a triangular parity condition holds among these three currencies, the available, yet incomplete, currency futures and options markets still provide a useful avenue for the firm to indirectly hedge against its foreign exchange risk exposure. This paper offers analytical insights into the optimal cross-hedging strategies of the firm. In particular, the results show the optimality of using options in conjunction with futures in the case of currency mismatching, even though cash flows appear to be linear.