Kelly T. Au

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This paper examines the problem of hedging foreign exchange risk across multiple countries using currency options. The profit target requirement is formulated as a stochastic constraint in the context of a binomial lattice. Models are presented for European options. In a numerical example, five currency options are selected, allowing for long or short(More)
For optimization problems with computationally demanding objective functions and subgradients, inexact subgradient methods (IXS) have been introduced by using successive approximation schemes within subgradient optimization methods (Au et al., 1994). In this paper, we develop alternative solution procedures when the primal-dual information of IXS is(More)
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