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Options, Futures, and Other Derivatives with Derivagem CD (7th Edition)

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Chapter 6 Homework Solution 1. 2. 4. 7. 8. 9. 10.
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16. 17. 18. In problem 17, we reduced the portfolio’s duration to zero. To only reduce it to 3.0, you would only use a fraction of the above contracts. That fraction is:
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Unformatted text preview: 25. a. b. c. d. 26. a. Ignoring any changes in the portfolio value or the futures price, we use the same formula with 7.0, or simply: b. Skip...
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