Valuation and hedging strategy of currency options under regime-switching jump-diffusion model

Chen, Shou-Ting; Diao, Xun-di; Zhu, Ailin

doi:10.1007/s10255-017-0704-z

Cited by 4 publications

(2 citation statements)

References 20 publications

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“…Some examples in which derivatives have been used to mitigate currency risk are in the papers presented by Shou-ting Chen, Xun-di Diao and Ai-lin Zhu, by Susana Álvarez, Eva Alfaro and Matilde Fernández, and by Jhon Alexis Days, Gloria Inés Macías and Edgar Luna Gonzále. All of the paper above expose the benefits associated with currency hedging, and they highlight the extra benefits that obtains the companies that have large exposures to currency risk [8][9][10].…”

Section: Introductionmentioning

confidence: 99%

Currency hedging strategy using barrier options in the colombian market

Arango-Franco

Jiménez-Gómez

Acevedo-Prins

2020

IJEECS

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<p><span>One of the main problems for the growth of the Colombian market is the short variety of investment instruments found in the local market. In this way, an exchange rate hedging strategy is proposed using exotic options, specifically, barrier-type options. These types of options are not offered in the Colombian market. Monte Carlo simulation is used to determine the effect that the hedging strategy has on currency risk. From the results, it is concluded that the exchange risk is decreased with the hedging strategy because the 5th and 95th percentiles are lower than in the scenario without hedging. Finally, the code that was used to model the barrier options is explained.</span></p>

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Section: Introductionmentioning

confidence: 99%

Currency hedging strategy using barrier options in the colombian market

Arango-Franco

Jiménez-Gómez

Acevedo-Prins

2020

IJEECS

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“…Ueda et al [12] in 2010 and Ariyama et al [13] in 2014 further discussed the new efforts reported for the discrete simulation of BF, respectively. However, the previous reviews did not pay much attention to the modeling efforts dedicated to hearth [14][15][16][17][18][19][20][21][22][23][24][25][26][27][28][29] and raceway, [30][31][32][33][34][35][36][37][38][39][40][41][42][43][44][45] of which the performance plays a critical role in determining BF campaign life, as well as operation and maintenance costs. Also, considerable model developments based on either discrete or continuum approach have been made recently.…”

mentioning

confidence: 99%

Review on Modeling and Simulation of Blast Furnace

Kuang

2017

steel research int.

162

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The design and control of blast furnace (BF) ironmaking must be optimized in order to be competitive and sustainable, particularly under the more and more demanding and tough economic and environmental conditions. To achieve this, it is necessary to understand the complex multiphase flow, heat and mass transfer, and global performance of a BF under different conditions. Mathematical modeling, often coupled with physical modeling, plays an important role in this area. This paper reviews the recent developments in this direction. The emphasis is given to mathematical models for different BF regions from the top charging system, body, and finally down to raceway and hearth. The needs for the further research and developments are also discussed.

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