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any advice? Let us assume that the standard deviation of daily changes of one crude oil futures contract price in last three years is 2100.
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Let us assume that the standard deviation of daily changes of one crude oil futures contract price in last three years is 2100. If an exchange wants to set the margin requirement for a member with a long position in one contract so that it is 95% certain that the margin will not be wiped out by a three-day price move. How high does the margin have to be when we assume that daily price changes are normally distributed with zero mean Step by Step Solution
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