James S. Doran Assistant Professor of Finance Florida State University 1 Senior Seminar 4934 Option Pricing a sk Management nd Financial Ri Homework #1 For this homework you will need to use the excel file Oil.xls . Note that there are futures prices for crude oil, heating oil, and propane only. Part of this assignment is your ability to organize and analyze data. Note that the prices and dates are not aligned, requiring you to manipulate the below. The use of the lookup function will help. data before you can evaluate the problems . Que o 1 sti n on Minimum Variance hedge a.) Using the data in the oil.xls file, calculate the standard deviation and correlation of returns between the various oil commodities (all 10). Use the lculate the spot prices only. (Help Note: Use the Data Analysis to ca correlation) b.) Calculate the minimum variance hedge ratios using only spot crude oil prices, ing oil and propane using 1 month, 2, and hedged with the futures prices of heat month, and 3 month maturity contracts. n the implication of these numbers
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Crude oil prices, Florida State University, minimum variance hedge, crude oil, Doran Assistant Professor of Finance Florida State University