Suppose that the standard deviation of monthly changes in the price of commodity A is¥2. The standard deviation of monthly changes in a futures price for a contract on commodity B (which is similar to commodity A) is ¥3. The correlation between the futures price and the commodity price is 0.9. What hedge ratio should be used when hedging a one month exposure to the price of commodity A?
A、0.60
B、0.67
C、1.45
D、0.90
A、0.60
B、0.67
C、1.45
D、0.90
金融工程学（双语）
章节列表
1 金融工程概述 Chapter 1 Introduction to Financial Engineering52 远期与期货概述 Chapter 2 Introduction to Forwards and Futures53 远期与期货的定价 Chapter 3 Pricing Forwards and Futures54 运用远期与期货进行套期保值 Chapter 4 Use forwards and futures for hedging55 金融远期与期货合约示例 Chapter 5 Examples of Financial Forwards and Futures Contracts56 互换 Chapter 6 Swap511 期末考试377 期权与期权市场 Chapter 7 Option and Option Markets58 期权价格特性 Chapter 8 Properties of Option Prices69 期权定价 Chapter 9 Option Pricing810 期权的应用 Chapter 10 Applications of Options10