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Pricing And Hedging A Participating Forward Contract

We use the Garman-Kohlhagen model to compute the hedge and price of a participating forward
contract on the US dollar that is written by a Turkish Bank. The algorithm is computed
using actual market data and a weekly updated hedge is computed. We note that despite a
weekly update and many assumptions made on the volatility and the interest rates the model
gives a very reasonable hedge.

Identiferoai:union.ndltd.org:METU/oai:etd.lib.metu.edu.tr:http://etd.lib.metu.edu.tr/upload/12615532/index.pdf
Date01 January 2013
CreatorsUnver, Ibrahim Emre
ContributorsDanisoglu, Seza
PublisherMETU
Source SetsMiddle East Technical Univ.
LanguageEnglish
Detected LanguageEnglish
TypeM.S. Thesis
Formattext/pdf
RightsTo liberate the content for METU campus

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