The Change in Spot Prices Has a Standard Deviation of $1.The

question 13

Multiple Choice

The change in spot prices has a standard deviation of $1.The change in futures prices has a standard deviation of $1.25.The correlation of spot and futures prices is 1.If the daily risk free interest rate is $R = 1.000055$ (corresponding to a continuously-compounded rate of 2% per year) ,then what is the tailed hedge ratio for a spot position hedged by a 30-day futures contract?

• A)0.7889
• B)0.7922
• C)0.7994
• D)0.8000

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Definitions:

Family Life Cycle

A series of stages through which a family progresses over time, impacting buying behaviors and marketing strategies.

Income

The financial gain received by an individual or a business from various sources, such as wages, investments, or sales, over a certain period.

Recreational Travel

Travel for the purpose of leisure and enjoyment, as opposed to business or commercial travel.

Consumer Socialization

The method through which people learn abilities, understanding, and perspectives essential for their roles as buyers within the market environment.