A Study on the Hedging Performance by Using Currency Derivatives

• Main Authors: Chia-Hsin Chou, 周佳欣
• Other Authors: 葉仕國
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/90245328654642688960

碩士 === 國立中興大學 === 高階經理人碩士在職專班 === 94 === In the faster development of worldwide economy, at the same time, the most competitive situations enterprises have to face to. In this thesis, a foreign subsidiary company in Taiwan was charged for monthly payment of US dollars and Japanese yen at the beginning of each month. Effective from 1 Jan’04 to 31 Dec’05, according to all data, we choose two kinds of derivatives to compare and evaluate the performance of using hedge or un-hedge strategy. The first step, company uses forward contract strategy. In other words, bank sells the foreign currency forward contract to company to hedge the foreign currency account payable. Then the second step, we use theory European options method to hedge. The purpose of this thesis is to evaluate the performance of the forward contract and European options contract during 1 Jan, 2004 to 31 Dec. 2005. The results are summarized as follow: for US dollars, by choosing the European options method as hedging strategy is much better than others. For Japanese yen, adopting un-hedge strategy is better than others. The forward contract for both currencies is less efficient.