Suppose rf = 2.5%, the index value is S0 = 4,000, and futures price for...
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Suppose rf = 2.5%, the index value is S0 = 4,000, and futures price for 1-year delivery is F0 = 4,000 1.025 = 4,100. You hold $1 million of market index. How many futures contracts should you sell to hedge?
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