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A Canadian exporter who is owed 250,000 in one period wishes to use options to fully hedge her exposure. The current market information at t=0
A Canadian exporter who is owed 250,000 in one period wishes to use options to fully hedge her exposure. The current market information at t=0 is as follows: Which of the following statement about hedge ratio is false? Select one: A. It is the ratio of change in price of an option versus that of its underlying asset. B. It can be used to construct riskless hedge, known as 'delta hedging'. C. Hedge ratio is constant through time. D. Hedge ratio gives the number of units of the underlying assets to hold and the amount to borrow in order to create a replicating portfolio. E. All of the above is true
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