Foreign Exchange Hedging with Synthetic Options and the Interest Rate Defense of a Fixed Exchange Rate Regime

December 1, 1994

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and national and international economic developments.

Subject: Conventional peg, Currencies, Exchange rates, Financial institutions, Financial regulation and supervision, Foreign exchange, Hedging, Money, Options

Keywords: central bank, Conventional peg, Currencies, currency option, currency put option gamma, derivative product, Exchange rates, exercise price, foreign exchange, forward rate, Global, Hedging, interest rate defense, intrinsic value, option's gamma, Options, options book, OTC options market, put delta, put Delta, put option, WP

Pages:
40
Volume:
1994
DOI:
https://doi.org/10.5089/9781451857009.001
Issue:
151
Series:
Working Paper No. 1994/151
Stock No:
WPIEA1511994
ISBN:
9781451857009
ISSN:
1018-5941

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Notes

Also published in Staff Papers, Vol. 42, No. 3, September 1995.

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