3.6. Suppose that the standard deviation of quarterly changes in the prices of a commodity is $0.65,

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3.6. Suppose that the standard deviation of quarterly changes in the prices of a commodity is

$0.65, the standard deviation of quarterly changes in a futures price on the commodity is

$0.81, and the coefficient of correlation between the two changes is 0.8. What is the optimal hedge ratio for a three-month contract? What does it mean?

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Fundamentals Of Futures And Options Markets

ISBN: 9780134083247

9th Edition

Authors: John Hull

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Question Posted: Jul 26, 2024 06:01 AM

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3.6. Suppose that the standard deviation of quarterly changes in the prices of a commodity is $0.65,

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Fundamentals Of Futures And Options Markets

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