Tesla knows that it will need 500 bitcoin for its transactions 6 months from today. The current price of bitcoin in the
Posted: Wed May 18, 2022 9:38 pm
Tesla knows that it will need 500 bitcoin for its transactions 6
months from today. The current price of bitcoin in the direct
market is 45000$ , the standard deviation of the change of price
perbitcoing for a 6 month period is 0.069. Tesla wants to hedge the
risk of a bitcoin price increase by forward futures. The standard
deviation of a forward future for the 6 months is 0.076 and the
correlation coefficient of the above changes is 0.75. Each forward
future concerns 50 bitcoin and each bitcoin has the price of 40000$
. After 6 months the price in the cash market is 52.000$ and in
forward futures is 51.200$. How many forward futures should Tesla
buy or sell
months from today. The current price of bitcoin in the direct
market is 45000$ , the standard deviation of the change of price
perbitcoing for a 6 month period is 0.069. Tesla wants to hedge the
risk of a bitcoin price increase by forward futures. The standard
deviation of a forward future for the 6 months is 0.076 and the
correlation coefficient of the above changes is 0.75. Each forward
future concerns 50 bitcoin and each bitcoin has the price of 40000$
. After 6 months the price in the cash market is 52.000$ and in
forward futures is 51.200$. How many forward futures should Tesla
buy or sell