Title: A note on currency hedging with basis risk: methodology and application
Authors: Moawia Alghalith
Addresses: University of the West Indies, St. Augustine, Trinidad and Tobago; 1831 Riviera, Jax, FL 32205, USA
Abstract: We implement the theoretical models of input hedging. In doing so, we provide decisive results regarding the marginal impact of the basis risk on the optimal hedge, hedge ratio and hedge position.
Keywords: currency hedging; input hedging; basis risk; optimal hedge; hedge ratio; hedge position.
DOI: 10.1504/IJBAAF.2008.020244
International Journal of Banking, Accounting and Finance, 2008 Vol.1 No.1, pp.105 - 109
Published online: 09 Sep 2008 *
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