Chapter 4 - Copyright Zheng Zhenlong & Chen Rong, 2008...

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1 Copyright© Zheng Zhenlong & Chen Rong, 2008
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2 Copyright© Zheng Zhenlong & Chen Rong, 2008
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运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运 运运运运运运运运运运运运 运运运运运运运运运运运运运运运运运运运运运运 运运运运运运运运运 Long Hedge 运 运运运运运运运运运 Short Hedge 运运 3 Copyright© Zheng Zhenlong & Chen Rong, 2008
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( 一一一一一一一一 运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运 运运运运运运运运运运运运运运运运 运运运 4.1 运 一一一一一一一一一 运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运 运运运运运运运运运运运运运运运运 运运运 4.2 运 4 Copyright© Zheng Zhenlong & Chen Rong, 2008
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运运运运运运运运运运运 运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运 运运运运运运运运运运运运运运运运“ 运运运运运运运” 运 运运运运运运运运运 运运运运运运运运运运运运运运运运运运运运运 运运运运运运运运运运运运运运 5 Copyright© Zheng Zhenlong & Chen Rong, 2008
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运运运运运运运运运运运运运运运运运运运 运运运运运运运运 Basis Risk 运 运运运运运运运运 Quantity Risk 运 6 Copyright© Zheng Zhenlong & Chen Rong, 2008
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运运运运运 Basis 运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运 b 运运运运运运运运运 H 运运运运运运运运运运运运运运运 G 运运运运运运运运运运运运运运运 b H G = - 7 Copyright© Zheng Zhenlong & Chen Rong, 2008
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运运运运运运运运运运运运运运运运运运运运运运运运运运 1 运运运运运运运 1 运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运 运运运运运运运运运运运运运运运运运运运运 运 4.1 运 运 1 运运运运运运运运 1 运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运 运运运运运运运运运运运运运运运运运运运运 运 4.2 运 运运运运运运 0 运 1 运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运运 运运运运运运运运运运运运运运运运运运运运运运运 运运运运运运运运运运运运运运运运 运运运运运运运运运运运运
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Chapter 4 - Copyright Zheng Zhenlong & Chen Rong, 2008...

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