Foreign Exchange Hedging with Synthetic Options and the Interest Rate Defense of a Fixed Exchange Rate Regime

Peter Garber and Michael Spencer

No 1994/151, IMF Working Papers from International Monetary Fund

Abstract: The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and national and international economic developments.

Keywords: WP; put option; central bank; foreign exchange; exercise price; OTC options market; derivative product; intrinsic value; forward rate; put Delta; currency put option gamma; currency option; put delta; option's gamma; options book; interest rate defense; Options; Hedging; Currencies; Conventional peg; Exchange rates; Global (search for similar items in EconPapers)
Pages: 40
Date: 1994-12-01
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Citations: View citations in EconPapers (5)

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