Question
The change in spot prices has a standard deviation of $8 . The change in futures prices has a standard deviation of $6 . The
The change in spot prices has a standard deviation of $8 . The change in futures prices has a standard deviation of $6 . The correlation of spot and futures prices is 52.28 percent. If the daily risk free interest rate is 1.0002386 corresponding to a continuously - compounded rate of 8.71 percent per year., then
what is the tailed hedge ratio for a spot position hedged by a 20 - day futures contract?
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SOLUTION The tail hedge ratio is the number of futures contracts that are needed to hedge a given s...
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Contemporary Financial Management
Authors: James R Mcguigan, R Charles Moyer, William J Kretlow
10th Edition
978-0324289114, 0324289111
