题目
Jack has company A’s stock and will sell it two months from now at a specified date in the middle of the month. Jack would like to hedge the price of risk of company A’s stock. How could she best hedge the company A’s stock without incurring basis risk?
选项
A.Short a two-month forward contract on company A\u2019s stock.
B.Short a three-month futures contract on company A\u2019s stock.
C.Short a two-month forward contract on the S&P 500 index.
D.Answers A and B are correct.
答案
A
解析
Basis risk is minimized when the maturity of the hedging instrument coincides with the horizon of the hedge (i.e., two months) and when the hedging instrument is exposed to the same risk factor (i.e., IBM).当标的一致、期限一致时，基差最小。