@article{MAKHILLJEAS201914617562,
    title = {Simulation of Exchange Hedges with Financial Options to
Mitigate Foreign Exchange Risk},
    journal = {Journal of Engineering and Applied Sciences},
    volume = {14},
    number = {6},
    pages = {1749-1754},
    year = {2019},
    issn = {1816-949x},
    doi = {jeasci.2019.1749.1754},
    url = {https://makhillpublications.co/view-article.php?issn=1816-949x&doi=jeasci.2019.1749.1754},
    author = {Miguel,Natalia and},
    keywords = {Foreign exchange risk,financial options,geometrical Brownian motion,hedge,data,value},
    abstract = {The main objective of this research is to cover the exchange risk in an exporting company through
coverage with futures on the TRM in Colombia and financial options on the currency. For this, the monthly data
of the TRM is used from April 2013-March 2018. Monte Carlo Simulation of the scenario without coverage and
the scenarios with coverage with the geometric Brownian motion the price of the TRM are modeled and with
the Monte Carlo Simulation all possible values are obtained and then the average value is calculated.The results
show that the financial options manage to reduce the exchange risk. The expected value with coverage is
approximate to the expected value without coverage but the 5% percentile with coverage is greater than without
coverage. The foregoing indicates that in the worst scenarios the exporting companies will obtain better prices
for the sale of the currencies if they cover.}
    }