hedge（都是截图来自frm原版教材）
2019-08-05 本文已影响0人
糖啵啵MER
cross hedging
- hedge ratio is the ratio of the size of the position taken in futures contracts to the size of the exposure
- asset underlying the futures contract 与 asset whose price is being hedged不一样时，叫cross hedging，hedge ratio为1并不是最优，我们需要找一个 optimal hedge ratio， minimizes the variance of the combined hedge position
计算最优hedge ratio
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tailing the hedge
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