4021金融与交易中等derivationmedium
Hedge Contract Count 1
题目
A spot exposure of 2000 units is hedged with futures contracts of 100 units each. Spot volatility is 30.00%, futures volatility is 25.00%, and correlation is 0.8. How many futures contracts correspond to the minimum-variance hedge?
解题计时
0:00
提交作答时记录,用于后续平均用时统计。
你的答案