Question
Suppose that a sorghum producer is placing a short hedge on 100,000 bushels of sorghum after planting using corn futures contracts. If the slope coefficient
Suppose that a sorghum producer is placing a short hedge on 100,000 bushels of sorghum after planting using corn futures contracts. If the slope coefficient of the regression of sorghum cash price on corn futures prices is estimated to be 0.94, what is the optimal number of contracts for this cross hedge?
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Introduction To Mathematical Finance Discrete Time Models
Authors: Stanley R. Pliska
1st Edition
1557869456, 9781557869456
