Assume that the spot position comprises 1,000,000 units in the stock index. If the hedge ratio is

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Assume that the spot position comprises 1,000,000 units in the stock index. If the hedge ratio is 1.09, how many units of the futures contract are required to hedge this position?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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Assume that the spot position comprises 1,000,000 units in the stock index. If the hedge ratio is

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Note that the optimal hedge ratio is h HQ where H is the number of un...View the full answer

Derivatives Principles And Practice

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