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동시접속자: 0165 |
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작성일 : 13/11/19
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파생금융관련 영번 제발 부탁드립니다. ㅠㅠ 해석이안대서 문제를못푸러요
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 조회 : 6,993
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1. A company wishes to hedge its exposure to a new fuel whose price changes have a 0.6 correlation with gasoline futures price changes. The company will lose $1 million gallons for each 1 cent increase in the price per gallon of the new fuel over the next three months. The new fuel's price change has a standard deviation that is 100% greater than price changes in gasoline futures prices.
a) If gasoline futures are used to hedge the exposure what should the hedge ratio be?
b) What is the company's exposure measured in gallons of the new fuel for each 1 dollar increase in the price per gallon of the new fuel over the next three months?
c) What position measured in gallons should the company take in gasoline futures?
d) How many gasoline futures contracts should be traded? Each contract is on 40,000 gallons.
2. It is July 16. A company has a portfolio of stocks worth $100 million. The beta of the portfolio is 1.2. The company would like to use the CME December futures contract on the S&P 500 to change the beta of the portfolio to 0.5 during the period July 16 to November 16. The index is currently 1,000, and each contract is on $250 times the index.
a) What position should the company take?
b) Suppose that the company changes its mind and decides to increase the beta of the portfolio from 1.2 to 1.5. What position in futures contracts should it take?
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