Man page - discretehedging(1)

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Package:  quantlib-examples
apt-get install quantlib-examples

Manual

DISCRETEHEDGING

NAME
SYNOPSIS
DESCRIPTION
SEE ALSO
AUTHORS

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NAME

DiscreteHedging - Example of using QuantLib

SYNOPSIS

DiscreteHedging

DESCRIPTION

DiscreteHedging is an example of using the QuantLib Monte Carlo simulation framework.

By simulation, DiscreteHedging computes profit and loss of a discrete interval hedging strategy and compares with the outcome with the results of Derman and Kamal’s Goldman Sachs Equity Derivatives Research Note "When You Cannot Hedge Continuously: The Corrections to Black-Scholes".

SEE ALSO

The source code DiscreteHedging.cpp , BermudanSwaption (1), Bonds (1), CallableBonds (1), CDS (1), ConvertibleBonds (1), EquityOption (1), FittedBondCurve (1), FRA (1), MarketModels (1), MulticurveBootstrapping (1), Replication (1), Repo (1), the QuantLib documentation and website at https://www.quantlib.org , http://www.gs.com/qs/doc/when_you_cannot_hedge.pdf

AUTHORS

The QuantLib Group (see Contributors.txt ).

This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for QuantLib .

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