Efficient Selection of Insured Currency Positions: Protective Puts vs. Fiduciary Calls

Posted: 26 Oct 1999

See all articles by David A. Dubofsky

David A. Dubofsky

University of Louisville - Department of Finance

James A. Conover

University of North Texas - Department of Finance (FIREL)

Abstract

We examine the empirical results from implementation of portfolio insurance strategies employing currency spot and futures options. Hypotheses are generated from Ogden and Tucker's (1988) generalizations concerning the relative values of American spot currency options and currency futures options. We find that protective puts using futures options are generally dominated by both protective puts that use options on spot currencies and by fiduciary calls on futures contracts. This suggests that the prices of puts on foreign currency futures contracts are too high, relative to foreign currency futures calls and to puts on spot currencies

JEL Classification: G00

Suggested Citation

Dubofsky, David A. and Conover, James A., Efficient Selection of Insured Currency Positions: Protective Puts vs. Fiduciary Calls. Available at SSRN: https://ssrn.com/abstract=6307

David A. Dubofsky (Contact Author)

University of Louisville - Department of Finance ( email )

PO BOX 844000
Louisville, KY 40292
United States
502-852-3016 (Phone)
502-852-6072 (Fax)

HOME PAGE: http://cobweb2.louisville.edu/profile/Dubofsky.html

James A. Conover

University of North Texas - Department of Finance (FIREL) ( email )

FIREL Department
Denton, TX 76203-5339
United States
940-565-3061 (Phone)

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