A company wishes to hedge its exposure to anew fuel whose price changes have a 0.6 correlation with gasoline futures pricechanges. The company will lose $1 million for each 1cent increase in the price per gallon of the new fuel over the next threemonths. The new fuel's price change has a standarddeviation that is 50% greater than price changes in gasoline futures prices. If gasoline futures are used to hedge theexposure what should the hedge ratio be? What is the company's exposure measured ingallons of the new fuel? What position measured in gallons shouldthe company take in gasoline futures? How many gasoline futures contracts shouldbe traded?
更新1:
TO Sunny 感謝你的回答 :D 不知道是否能再幫忙翻譯以下四句為解答 0.6 × 1.5 = 0.9. The company has an exposure to the price of 100 million gallons of the new fuel. If should therefore take a position of 90 million gallons in gasoline futures. Each futures contract is on 42,000 gallons. 90,000,000/42,000=2142.9