Article Per Year (5 Year)
p-Index From 2021 - 2026
0.23
P-Index
This Author published in this journals
All Journal IAES International Journal of Artificial Intelligence (IJ-AI)
Manuela Gutierrez-Salazar
Universidad Nacional de Colombia
Computer Science & IT Engineering

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
Evaluation of efficiency of hedging strategies with option portfolios for buyers of the currency US dollar/Colombian peso Manuela Gutierrez-Salazar; Miguel Jiménez-Gómez; Natalia Acevedo-Prins
IAES International Journal of Artificial Intelligence (IJ-AI) Vol 11, No 2: June 2022
Publisher : Institute of Advanced Engineering and Science

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.11591/ijai.v11.i2.pp572-581

Abstract

This paper evaluates the efficiency to mitigate the exchange rate risk of nine hedging strategies with financial options. Strategies to hedging the purchase of US dollar Colombian peso (USDCOP) by importers in Colombia were raised. In this way, the traditional strategy with call options and eight strategies with investment portfolios were evaluated. These portfolios of options for hedge are offered by financial entities in Colombia. These nine hedged scenarios were compared with the unhedged scenario that corresponds to the foreign exchange risk exposure of importers. The USDCOP currencies were modeled with a mean reversion with jumps models, option premiums were valued with the black-scholes method and the best hedging strategy was determined through a Monte Carlo simulation. According to the results obtained, the nine hedging strategies manage to mitigate risk, but the most efficient was the option portfolio called collar.
Co-Authors Miguel Jiménez-Gómez Natalia Acevedo-Prins