Reply to "a comment on 'a hedging deficiency in eurodollar futures'"

Document Type

Article

Publication Date

2-1-2007

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.

Publication Source (Journal or Book title)

Journal of Futures Markets

First Page

195

Last Page

201

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