Multiple Choice
The change in spot prices has a standard deviation of $1.The change in futures prices has a standard deviation of $1.25.The correlation of spot and futures prices is 1.If the daily risk free interest rate is (corresponding to a continuously-compounded rate of 2% per year) ,then what is the tailed hedge ratio for a spot position hedged by a 30-day futures contract?
A) 0.7889
B) 0.7922
C) 0.7994
D) 0.8000
Correct Answer:
Verified
Correct Answer:
Verified
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