AYUDANTÍA 3 (SOLUCIÓN).xlsx

AYUDANTÍA 3 (SOLUCIÓN).xlsx - Pregunta 3 diapo futuros...

  • No School
  • AA 1
  • 8

This preview shows page 1 - 8 out of 8 pages.

Pregunta 3, diapo futuros Activo Futuro Q 1000 25 sigma 2.6 3.2 rho 0.77 h* 0.625625 N* contratos 25 Posición corto, vender contratos.
Image of page 1

Subscribe to view the full document.

Pregunta 4, diapo futuros activo futuro sigma 12 17 rho 0.68 h* 0.48 Ratio de cobertura de mínima varianza
Image of page 2
Image of page 3

Subscribe to view the full document.

Pregunta 5, diapo futuros Activo Futuro Q -10,000 42,000 precio 277 0.6903 p x q -2,770,000 28,993 sigma 21.17% 18.59% rho 0.8243 Nocional de la posicion sin cubrir Nocional -2,770,000 28,993 Volatilidad -586,409 5,390 a) Contratos para cubrir h 0.9387 n -90 b) Si el precio del combustible sube a 287 277 287 -2,770,000 -2,870,000 -100,000 pierde porque precio futuro 0.71084203 0.6903 posicion 2,609,334 2,686,983 77,649 c) Si el precio del combustible baja a 265 277 265 -2,770,000 -2,650,000 120,000 precio futuro 0.71084203 0.68545804 posicion 2,686,983 2,591,031
Image of page 4
Image of page 5

Subscribe to view the full document.

Image of page 6
Image of page 7

Subscribe to view the full document.

Image of page 8
  • Fall '19
  • Contrato, Contrato de compraventa, Posición Corta

{[ snackBarMessage ]}

What students are saying

  • Left Quote Icon

    As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

    Student Picture

    Kiran Temple University Fox School of Business ‘17, Course Hero Intern

  • Left Quote Icon

    I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

    Student Picture

    Dana University of Pennsylvania ‘17, Course Hero Intern

  • Left Quote Icon

    The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

    Student Picture

    Jill Tulane University ‘16, Course Hero Intern