Given the following information on the statistical properties of the spot and futures, compute the minimum-variance hedge

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Given the following information on the statistical properties of the spot and futures, compute the minimum-variance hedge ratio: σ_S = 0.2, σ_F = 0.25, ρ = 0.96.

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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Given the following information on the statistical properties of the spot and futures, compute the minimum-variance hedge

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Derivatives Principles And Practice

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