Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/101794 
Year of Publication: 
1991
Series/Report no.: 
Diskussionsbeiträge - Serie II No. 134
Publisher: 
Universität Konstanz, Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft, Konstanz
Abstract: 
The paper focusses on currency options as financial hedging instrumenta. Since currency forwards imply the well-known Separation result, it follows for arbitragefree hedging markets that Separation must also hold in option markets if the traded options allow for con-structing a synthetical forward contract. Furthermore export revenue is fully hedged by synthetical forwards, if the risk premium in the put price is equal to the risk premium in the call price.
Document Type: 
Working Paper

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