DiscreteHedging man page

DiscreteHedging — Example of using QuantLib

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), Replication(1), Repo(1), SwapValuation(1), the QuantLib documentation and website at http://quantlib.org, http://www.gs.com/qs/doc/when_you_canno…

Authors

The QuantLib Group (see Authors.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), LatentModel(1), MarketModels(1), MultidimIntegral(1), Replication(1), Repo(1), SwapValuation(1).

20 September 2001 QuantLib