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The price correlation coefficient between the underlying and the forward instrument is 0.7. The variance in price changes for underlying is 0.006084; while the variance

The price correlation coefficient between the underlying and the forward instrument is 0.7. The variance in price changes for underlying is 0.006084; while the variance in prices changes for three-month futures contracts for this instrument is 0.003844. Calculate the optimal hedge ratio. image text in transcribed

The price correlation coefficient between the underlying and the forward instrument is 0.7. The variance in price changes for underlying is 0.005004 while the variance in price changes for three month futures contracts to this instrument is 0.003844. Calculate the optimal hedge ratio. O a 1.1079 Ob. Oc 0.5564 d. 0.8806 Odznacz mj wybr

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