This paper investigated the hedging effectiveness of crude palm oil futures market in Malaysia from January 2009 to June 2011 which traded under Bursa Malaysia Derivatives Berhad. Ordinary Least Squared (OLS) method was used to compute Minimum-Variance hedging ratio (MVHR), R-squared and hedging effectiveness by using daily data from settlement price of crude palm oil futures contracts and spot...

This paper mainly discusses the American option’s hedging strategies via binomial model and the basic idea of pricing and hedging American option. Although the essential scheme of hedging is almost the same as European option, small differences may arise when simulating the process for American option holder has more rights, spelling that the option can be exercised at anytime before its maturi...

Fuel hedging is a common risk management tool used in the airline industry. But past studies have not addressed the question of whether fuel hedging creates any benefit to airline operations. This study is the first work that empirically examines the role of fuel hedging in reducing airlines’ operating costs. Using US airlines data from 2000 through 2012, we find that, after accounting for the ...

A Bayesian optimal hedging model is developed to quantitatively analyze selective hedging behavior. Numerical results confirm that subjective market views can have a substantial impact on a hedger’s optimal position. The impact is most evident when the hedger speculates on future market price directions and/or is pessimistic about the effectiveness of hedging, i.e., a breakdown in the correlati...

For a Cournot duopoly with a foreign firm exporting to the home firm’s market hedging against unfavorable shifts in the stochastic spot exchange rate is analyzed. In a two-stage setting with product market and hedging decisions we show that hedging can be used as a strategic device. Under constant and decreasing absolute risk aversion an increase in hedging volume by the foreign firm promotes i...

This study presents the empirical results for the relationship between the use of hedging techniques and the characteristics of UK multinational enterprises (MNEs). All the firms in the sample hedge foreign exchange (FX) exposure. The results indicate that UK firms focus on a very narrow set of hedging techniques. They make much greater use of derivatives than internal hedging techniques. The d...

Despite the importance of hedging in academic productions, its use in different disciplines and genres has been given little attention (Hyland, 1998; Crystal, 1995). More precisely, the role of different genders as contributors to this social phenomenon (i.e., research articles) has been taken as neutral, as if gender is inconsequential in identity construction. The studies done in English sugg...

This paper studies the performance of delta-neutral hedging strategies on meme stocks under Black-Scholes-Model to help investors find possibilities reducing risk caused by high volatility in stock trading. In study, one most followed individual r/wallstreetbets forum-GameStop (GME)-is selected as underlying, and data 10 options with different strike prices short term are collected daily implie...

Using the Clegg–Krauss framework, this paper first examines a partial cointegration relationship between stock index futures and $$VIX$$ prices then constructs hedging strategy based upon relationship. This argues that are both affected by unobservable investor sentiment thus price series should be modelled Our empirical results validate prices. Based prices, we demonstrate proposed outperforms...