原创力文档- 1、本文档共14页，可阅读全部内容。
- 2、原创力文档（book118）网站文档一经付费（服务费），不意味着购买了该文档的版权，仅供个人/单位学习、研究之用，不得用于商业用途，未经授权，严禁复制、发行、汇编、翻译或者网络传播等，侵权必究。
- 3、本站所有内容均由合作方或网友上传，本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺！文档内容仅供研究参考，付费前请自行鉴别。如您付费，意味着您自己接受本站规则且自行承担风险，本站不退款、不进行额外附加服务；查看《如何避免下载的几个坑》。如果您已付费下载过本站文档，您可以点击 这里二次下载。
- 4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等，请点击“版权申诉”（推荐），也可以打举报电话：400-050-0827(电话支持时间：9:00-18:30)。
查看更多
CHAPTER 11 - Hedging, Insuring, and Diversifying
End-of-Chapter Problems
1. Suppose you own a grove of orange trees. The harvest is still two months away but you are concerned
about price risk. You want to guarantee that you will receive $1.00 per pound in two months regardless of
what the spot price is at that time. You are selling 250,000 pounds.
a. Show the economics of a short transaction in the forward market if the spot price on delivery date is
$0.75 per pound, $1.00 per pound, or $1.25 per pound.
b . What would have happened to you if you had not entered the hedge and each scenario is equally likely?
c. What is the variability of your receipts after the hedge is in place?
Solution: a. The proceeds form the
sale of orange juice are given by: Juice(price) : price⋅250000
The cash flow from the
futures contract is given by: Futures(price) : (1 − price) ⋅250000
The total value of the position: Total(price) : Juice(price) + Futures(price)
price Juice(price) Futures(price) Total(price)
0.75 187500.00 62500.00 250000.00
5
4×10
1.00 250000.00 0.00 250000.00
Juice(price)
1.25 312500.00 -62500.00 250000.00
Futures(price) 5 250000
2×10
Total(price)
文档评论（0）