Business, 02.04.2020 01:39 samanthashade8352

Suppose that the standard deviation of monthly changes in the spot price of commodity A is $20. The standard deviation of monthly changes in a futures price for a contract on commodity B (which is similar to commodity A) is $24. The correlation between the futures price change and the commodity spot price change is 0.95. What hedge ratio should be used when using the futures contract on commodity B to hedge an exposure to a decrease in the price of commodity A?

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Suppose that the standard deviation of monthly changes in the spot price of commodity A is $20. The...

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