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.
| Identifer | oai:union.ndltd.org:METU/oai:etd.lib.metu.edu.tr:http://etd.lib.metu.edu.tr/upload/12615532/index.pdf |
| Date | 01 January 2013 |
| Creators | Unver, Ibrahim Emre |
| Contributors | Danisoglu, Seza |
| Publisher | METU |
| Source Sets | Middle East Technical Univ. |
| Language | English |
| Detected Language | English |
| Type | M.S. Thesis |
| Format | text/pdf |
| Rights | To liberate the content for METU campus |
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