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DiscreteHedging - Man Page

Example of using QuantLib




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


The QuantLib Group (see Contributors.txt).

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

Referenced By

BasketLosses(1), BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), CVAIRS(1), EquityOption(1), FittedBondCurve(1), FRA(1), Gaussian1dModels(1), GlobalOptimizer(1), LatentModel(1), MarketModels(1), MulticurveBootstrapping(1), MultidimIntegral(1), Replication(1), Repo(1).

20 September 2001 QuantLib