3. Problem 2.32. (Excel file) The author's Web page (www.rotman.utoronto.ca/~hull/data) contains daily closing prices for the...
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3. Problem 2.32. (Excel file) The author's Web page (www.rotman.utoronto.ca/~hull/data) contains daily closing prices for the crude oil futures contract and gold futures contract. (Both contracts are traded on NYMEX.) You are required to download the data and answer the following: a) How high do the maintenance margin levels for oil and gold have to be set so that there is a 1% chance that an investor with a balance slightly above the maintenance margin level on a particular day has a negative balance two days later? How high do they have to be for a 0.1% chance? Assume daily price changes are normally distributed with mean zero. Explain why the exchange might be interested in this calculation 3. Problem 2.32. (Excel file) The author's Web page (www.rotman.utoronto.ca/~hull/data) contains daily closing prices for the crude oil futures contract and gold futures contract. (Both contracts are traded on NYMEX.) You are required to download the data and answer the following: a) How high do the maintenance margin levels for oil and gold have to be set so that there is a 1% chance that an investor with a balance slightly above the maintenance margin level on a particular day has a negative balance two days later? How high do they have to be for a 0.1% chance? Assume daily price changes are normally distributed with mean zero. Explain why the exchange might be interested in this calculation
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