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Derivatives and Risk Management, 1st Edition
book

Derivatives and Risk Management, 1st Edition

by Sundaram Janakiramanan
May 2024
Intermediate to advanced content levelIntermediate to advanced
542 pages
27h 26m
English
Pearson India
Content preview from Derivatives and Risk Management, 1st Edition
Single Stock Futures and Stock Index Futures 143
because of the presence of basis risk. Similarly, if the number of shares held is not an integer multiple of
the number of shares underlying the futures, there will be a basis risk, and perfect portfolio insurance
will not be possible.
You want to buy Tata Chemicals shares, which are selling at INR 250 on March 22. Tata Chemicals futures have a con-
tract size of 1,350 shares, and the futures price of April futures with expiry on April 30 is INR 252.48. e risk-free rate
is 9%. You decide to insure your portfolio. Explain how you would proceed and what the insured portf ...
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Publisher Resources

ISBN: 9781299447547Publisher Website