Question:
A company needs to hedge the purchase of an asset in two months using 3-month futures on a similar asset. The following are historical data on the changes of the spot price of the asset the company needs to buy and the changes of the futures price in two-month periods. Determine the amount of the asset needed underlying the futures for each unit of the asset the company needs to purchase.
spot price change??????? ?0.50???? 0.61??? -0.22??? -0.35??? 0.79?? 0.04???? 0.15???? 0.70??? -0.51??? -0.41
futures price change??? 0.56??? ?0.63??? -0.12??? -0.44??? 0.60?? -0.06??? 0.01???? 0.80??? -0.56??? -0.46