منابع مشابه
Estimating Hedge Ratios
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D erivatives such as futures contracts on Treasury bonds (T-bonds) anci notes are tailorniade for hedging interest-rate risk, and in priticiple, computation of an optimal hedge ratio should be easy. The risk-minimizing number oi contracts is obtained by dividing the price value of a basis point {PVBP) ofthe underlying cash position (i.e., the change in dollar value resulting trom a I basis poin...
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ژورنال
عنوان ژورنال: CBU International Conference Proceedings
سال: 2016
ISSN: 1805-9961,1805-997X
DOI: 10.12955/cbup.v4.874