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Roxanne · 2019年04月20日

问一道题:NO.PZ2016082404000015

问题如下图:

    为什么short hedge position 是long the basis?讲义里哪里讲到过,这个是规定吗

选项:

A.

B.

C.

D.

解释:



1 个答案

orange品职答疑助手 · 2019年04月20日

同学你好,因为基差的定义是 现货-期货,而空头套期保值的组合是空头期货、多头现货。该组合的变化的表达式是

b0是确定的,b1是未定的,代表基差。b1它是正号,所以是long

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