EconPapers    
Economics at your fingertips  
 

Reply to “A comment on 'A hedging deficiency in eurodollar futures'”

Don M. Chance

Journal of Futures Markets, 2007, vol. 27, issue 2, 195-201

Abstract: Kawaller's argument that a perfect hedge is possible with eurodollar futures is limited to the notion of a perfect accounting hedge, whereby the time value of money is ignored. In addition, his attempt to show the importance of sizing the hedge merely introduces a change to the problem, leading to a difference in our results that he erroneously believes is a mistake on my part. It is easy to show that his example is driven by an irrelevant distraction. I correct his example and show that had he worked the same problem I worked, he would have worked it the same way I did. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:195–201, 2007

Date: 2007
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:27:y:2007:i:2:p:195-201

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2025-03-20
Handle: RePEc:wly:jfutmk:v:27:y:2007:i:2:p:195-201