Multiple Choice
What must be the daily interest rate (expressed in continuously-compounded and annualized terms) for the tailed hedge ratio to be 90% of the untailed one for a one-year hedge? Assume a hedging horizon of 365 days.
A) 10%
B) 15%
C) 20%
D) 25%
Correct Answer:
Verified
Correct Answer:
Verified
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