4028金融与交易中等数值题medium
Contract Size Implied by a Min-Variance Hedge 3
题目
A desk hedges a spot exposure of 12,000 units with 40 futures contracts. The spot volatility is 25%, the futures volatility is 20%, and the spot-futures correlation is 0.64. If the desk is using the minimum-variance hedge ratio, what contract size must each futures contract represent?
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