期權(quán)期貨以及其他衍生品(4)-在線瀏覽
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【正文】 to Spot Time Time (a) (b) Futures Price Futures Price Spot Price Spot Price Options, Futures, and Other Derivatives, 5th edition 169。 futures ? Basis risk arises because of the uncertainty about the basis when the hedge is closed out Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull Short Hedge ? Suppose that F1 : Initial Futures Price F2 : Final Futures Price S2 : Final Asset Price ? You hedge the future sale of an asset by entering into a short futures contract ? Price Realized=S2+ (F1 –F2) = F1 + Basis Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull Optimal Hedge Ratio Proportion of the exposure that should optimally be hedged is where sS is the standard deviation of dS, the change in the spot price during the hedging period, sF is the standard deviation of dF, the change in the fu
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