| Summary: | 碩士 === 東吳大學 === 經濟學系 === 92 === Taiwan is a foreign-trade-orientated country. In Taiwan, kinds of foreign trade activities are correlated with the volatile foreign exchange rate. The domestic exporters and importers can operate various financial instruments, such as USD/TWD foreign exchange option since 1997 deregulation. However, there are few papers discuss with this type of financial products and much less hedging strategies of foreign exchange options in Taiwan. Therefore, this study focuses on the performance of hedging strategies, as exporters and importers operate foreign exchanging activities.
This study investigates exporters and importers use hedging strategies -- Un-hedge、Stop-Loss、Delta Hedge -- to avoid the potential risks if they sell FX options. Through actual data, this study examines the profit & loss of each hedging strategy, and compares its performance. According the hedging performance, it can be figured out which strategy is better than others.
Following main findings are reached through the examining of each strategy’s hedging profit & loss:
1. The Stop-Loss strategy is better than Un-hedge and Delta
Hedge on the whole.
2. The Delta Hedge strategy is better than Un-hedge and
Stop-Loss, if and only if options are in-the-money on
expiration date.
3. The Un-hedge strategy is better than Stop-Loss and
Delta Hedge, if and only if options are out-of-the-money
on expiration date.
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