Pricing and hedging a participating forward contract

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2013
Ünver, İbrahim Emre
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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.
Money market, Foreign exchange, Capital market
http://etd.lib.metu.edu.tr/upload/12615532/index.pdf
https://hdl.handle.net/11511/22610
Graduate School of Applied Mathematics, Thesis

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Citation Formats
İ. E. Ünver, “Pricing and hedging a participating forward contract,” M.S. - Master of Science, Middle East Technical University, 2013.
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