Cross- and delta-hedges: Regression- versus price-based hedge ratios

Journal of Banking and Finance

Volumn 24, Issue 5, 2000, Pages 735-757

  Sercu, Piet ^a   Wu, Xueping ^b  

^a UNIVERSITY OF LEUVEN   (Belgium)

^b CITY UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Cross; Delta; Exchange rates; F31; Futures; G13; G15; Hedging

Indexed keywords

EID: 0041412976     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(99)00048-5     Document Type: Article

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