Pricing and hedging a participating forward contract

Ünver, İbrahim Emre
We use the Garman-Kohlhagen model to compute the hedge and price of a participating forward contract on the US dollar that is written by a Turkish Bank. The algorithm is computed using actual market data and a weekly updated hedge is computed. We note that despite a weekly update and many assumptions made on the volatility and the interest rates the model gives a very reasonable hedge.
Citation Formats
İ. E. Ünver, “Pricing and hedging a participating forward contract,” M.S. - Master of Science, Middle East Technical University, 2013.