{"title":"去还是不去?","authors":"Asad Sultan","doi":"10.2139/ssrn.2688319","DOIUrl":null,"url":null,"abstract":"Does one always need a Quanto option to hedge foreign exchange derivative exposure? This is investigated empirically, and as an example a put option on the Nikkei Index for a USD investor was examined. Three external events were considered: 1989/90 Japanese stock market crash, 1995 Kobe earth quake and 2011 Fukushima Tsunami. The conclusion is that it depends on the correlation between underlying index and foreign exchange rate and also on the country in consideration.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2015-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"To Quanto or Not to Quanto?\",\"authors\":\"Asad Sultan\",\"doi\":\"10.2139/ssrn.2688319\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Does one always need a Quanto option to hedge foreign exchange derivative exposure? This is investigated empirically, and as an example a put option on the Nikkei Index for a USD investor was examined. Three external events were considered: 1989/90 Japanese stock market crash, 1995 Kobe earth quake and 2011 Fukushima Tsunami. The conclusion is that it depends on the correlation between underlying index and foreign exchange rate and also on the country in consideration.\",\"PeriodicalId\":413816,\"journal\":{\"name\":\"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal\",\"volume\":\"7 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2015-11-09\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2688319\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2688319","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Does one always need a Quanto option to hedge foreign exchange derivative exposure? This is investigated empirically, and as an example a put option on the Nikkei Index for a USD investor was examined. Three external events were considered: 1989/90 Japanese stock market crash, 1995 Kobe earth quake and 2011 Fukushima Tsunami. The conclusion is that it depends on the correlation between underlying index and foreign exchange rate and also on the country in consideration.
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