Currency hedging strategy using barrier options in the local market

Miguel Jiménez-Gómez, Mariana Arango-Franco, Natalia Acevedo-Prins

Abstract


One of the major barriers for the Colombian market grown is the short variety of investment instruments that are in the local market. Trough Monte Carlo simulation is possible to offer new investment alternatives that promotes the use of different investment instruments from conventional ones such as exotic options. This paper will be focused in developing a new alternative to currency hedging using barrier options.


Keywords


Financial markets, Hedge, Barrier options, Monte Carlo simulation

References


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DOI: http://doi.org/10.11591/ijeecs.v21.i1.pp%25p
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