CH 3 notations Flashcards
1
Q
∆S
A
Change in spot price over the life of the hedge
2
Q
∆F
A
Change in futures price over the life of the hedge ?????
3
Q
σS
A
Standard deviation of S
4
Q
σF
A
Standard deviation of F
5
Q
ρ
A
Coefficient of correlation between ∆S and ∆F
6
Q
h ∗
A
Hedge ratio that minimizes the variance of the hedger’s position
7
Q
NA
A
Size of the position being hedged (units)
8
Q
QF
A
Size of one futures contract (units)
9
Q
N ∗
A
Optimal number of futures contracts for hedging
